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.
Package: | RTAQ |
Type: | Package |
Version: | 0.1 |
License: | GPL |
LazyLoad: | yes |
Kris Boudt, Jonathan Cornelissen
Maintainer: Jonathan Cornelissen <Jonathan.cornelissen@econ.kuleuven.be>
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