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.
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References in zbMATH (referenced in 1 article )
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- Boudt, Kris; Cornelissen, Jonathan; Croux, Christophe: Jump robust daily covariance estimation by disentangling variance and correlation components (2012)