RTAQ-package: RTAQ: Tools for the analysis of trades and quotes in R
In R-Finance/RTAQ: RTAQ: Tools for the analysis of trades and quotes in R
Description
The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.
Details
Package: RTAQ
Type: Package
Version: 0.1
License: GPL
LazyLoad: yes
Author(s)
Kris Boudt, Jonathan Cornelissen
Maintainer: Jonathan Cornelissen <Jonathan.cornelissen@econ.kuleuven.be>
R-Finance/RTAQ documentation built on May 8, 2019, 4:48 a.m.
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Description
The Trades and Quotes data of the New York Stock Exchange is a popular input for the implementation of intraday trading strategies, the measurement of liquidity and volatility and investigation of the market microstructure, among others. This package contains a collection of R functions to carefully clean and match the trades and quotes data, calculate ex post liquidity and volatility measures and detect price jumps in the data.
Details
| Package: | RTAQ |
| Type: | Package |
| Version: | 0.1 |
| License: | GPL |
| LazyLoad: | yes |
Author(s)
Kris Boudt, Jonathan Cornelissen
Maintainer: Jonathan Cornelissen <Jonathan.cornelissen@econ.kuleuven.be>
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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