DESCRIPTION

Package: RTAQ
Type: Package
Title: RTAQ: Tools for the analysis of trades and quotes in R
Version: 0.3
Author: Jonathan Cornelissen, Kris Boudt
Maintainer: Jonathan Cornelissen <Jonathan.cornelissen@econ.kuleuven.be>
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.
Depends: xts, timeDate
Suggests: highfrequency, robustbase, cubature, mvtnorm, chron
License: GPL-2
LazyLoad: yes