makeReturns

<p>Function returns an xts object with the log returns as xts object.</p><p>$$
\mbox{log return}_t =  (\log(\mbox{PRICE}_{t})-\log(\mbox{PRICE}_{t-1})).
$$</p>

Provide functionality to manage, clean and match highfrequency
trades and quotes data, calculate various liquidity measures, estimate and
forecast volatility, detect price jumps and investigate microstructure noise and intraday
periodicity.

Kris Boudt

highfrequency

Tools for Highfrequency Data Analysis

Jonathan Cornelissen

Scott Payseur

Giang Nguyen

Onno Kleen

makeReturns function

Compute log returns — makeReturns

Compute log returns

makeReturns: Compute log returns

Description

Usage

Arguments

Value

Details