Dear R users Some days ago we released the package 'TAQMNGR'. The package manages tick-by-tick transaction data, performing 'cleaning', 'aggregation' and 'import' in an efficient and fast way (the package engine is in C++). Cleaning and Aggregation are performed according to Brownlees and Gallo (2006). Currently, the package processes raw data from WRDS (Wharton Research Data Service -- See help(TAQMNGR) for more details on the data format). In comparison with packages performing similar tasks, there is no limitation in the length of the time period, the number of tickers or the number of files processed and there is no need to adjust raw data (for example uncompressing or splitting files). Best regards -- Fabrizio Cipollini Dipartimento di Statistica, Informatica e Applicazioni (DISIA) 'G. Parenti' viale Morgagni 59, 50134, Firenze skype: cipollini_fabrizio tel: (+39) 055 2751592 fax: (+39) 055 4223560 [[alternative HTML version deleted]] _______________________________________________ R-packages mailing list R-packages@r-project.org https://stat.ethz.ch/mailman/listinfo/r-packages