RTAQ: Tools for the analysis of trades and quotes in R CRAN Task View: Finance (http://CRAN.R-project.org/view=Finance) 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. Software Depends: R (>= 2.10), xts, timeDate Suggests: realized, robustbase, cubature, mvtnorm, chron Jonathan Cornelissen <Jonathan.cornelissen@econ.kuleuven.be> Jonathan Cornelissen, Kris Boudt GPL 2012-04-05 application/tgz http://CRAN.R-project.org/package=RTAQ