sample_returns_5min

<p>EUR/USD returns from January to September 2004</p>

datasets

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

sample_returns_5min function

Format

Sample returns data — sample_returns_5min

Sample returns data

sample_returns_5min: Sample returns data

Description

Usage

Arguments

Format