Provide functionality to manage, clean and match highfrequency trades and quotes data, calculate various liquidity measures, estimate and forecast volatility, and investigate microstructure noise and intraday periodicity.
|License:||GPL (>= 2)|
Jonathan Cornelissen, Kris Boudt, Scott Payseur
Maintainer: Kris Boudt <Kris.Boudt@econ.kuleuven.be>
Contributors: Giang Nguyen, Maarten Schermers.
Thanks: A special thanks for additional contributions from Chris Blakely, Brian Peterson, Eric Zivot and GSoC.
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