| 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.
NOTE: The RTAQ package is deprecated. Please use the updated and the improved version:
|