How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R

(Last Updated On: May 30, 2012)

How to measure Liquidity measure Aggregation and volatility, Inferred trade direction from market data in R

From http://www.econ.kuleuven.be/public/n09022/RTAQ_vignette.pdf

This appears to work ok but this RTAQ package is impressing me each time

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