[R-SIG-Finance] TAQ data and Eric Zivot's HF Library

[Brian G. Peterson]

I find myself needing to analyze TAQ high frequency data.

Eric Zivot and Bingcheng Yan wrote a paper and released code here:

http://faculty.washington.edu/ezivot/research/hfanalysis.pdf
http://faculty.washington.edu/ezivot/research/HFLibrary.SSC

That can handle TAQ data, and has some other useful characteristics for 
high frequency data cleanup.

1. Has anyone thought about porting these scripts to R ?

2. Some functions rely on diff.timeSeries from S+Finmetrics.  I'm not 
aware of a correllary function in R.  Does anyone have any ideas on 
replicating diff.Timeseries?

If I can get permission, any ported code would be made public so that no 
one else would have to repeat the work.

Regards,

  - Brian

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