RTAQ: RTAQ: Tools for the analysis of trades and quotes in R
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.
Downloads: