TAQMNGR: Manage tick-by-tick transaction data
TAQMNGR manages tick-by-tick transaction data, performing 'cleaning', 'aggregation' and 'import' in an efficient and fast way (the package engine is developed in C++).
Cleaning and Aggregation are performed according to Brownlees and Gallo (2006). Currently, TAQMNGR processes raw data from WRDS (Wharton Research Data Service).
| Version: |
2014.01-2 |
| Depends: |
R (≥ 3.0-0) |
| LinkingTo: |
Rcpp |
| Published: |
2014-01-28 |
| Author: |
Francesco Calvori, Fabrizio Cipollini, Giampiero M. Gallo |
| Maintainer: |
Francesco Calvori <francesco.calvori at gmail.com> |
| License: |
GPL-2 | GPL-3 [expanded from: GPL (≥ 2)] |
| URL: |
http://www.r-project.org |
| NeedsCompilation: |
yes |
| Materials: |
ChangeLog |
| In views: |
Finance |
| CRAN checks: |
TAQMNGR results |
Downloads: