search for: microstructure

Dear R-Devels, I am designing right now a package intended to simplify the handling of market microstructure data (tick data, order data, etc). As these data is most times pretty huge and needs to be reordered quite often (e.g. if several security data is batched together or if only a certain time range should be considered) - the package needs to handle this. Before I start, I would like to mention som...

Dear All, I am researching financial market microstructure and have approx 4 x 10^7 multivariate 2D data samples which I have counted into a 250 x 390 bin matrix (frequency counted 2D histogram) in order to more efficiently manage the volume of data. I now wish to construct a smooth kernel density estimate (Gaussian kernel function) using this binned dat...

..., IL, USA The third annual R/Finance conference for applied finance using R will be held this spring in Chicago, IL, USA on April 29 and 30, 2011. The two-day conference will cover topics including portfolio management, time series analysis, advanced risk tools, high-performance computing, market microstructure and econometrics. All will be discussed within the context of using R as a primary tool for financial risk management, portfolio construction, and trading. One-page abstracts or complete papers (in txt or pdf format) are invited to be submitted for consideration. Academic and practitioner proposal...