[R-SIG-Finance] Removing outliers in tick data in R?

[Eric Zivot]

You should look at the excellent RTAQ package. It has an implementation of a
very nice outlier removal algorithm from
http://faculty.washington.edu/ezivot/econ589/realizedKernelsInPractice.pdf 

Eric Zivot                  			               
Robert Richards Chaired Professor of Economics and Director of Outreach
Adjunct Professor of Finance                            
Adjunct Professor of Statistics
Adjunct Professor of Applied Mathematics 
Department of Economics
Box 353330                  email:  ezivot at u.washington.edu 
University of Washington    phone:  206-543-6715            
Seattle, WA 98195-3330
www:  http://faculty.washington.edu/ezivot                  



-----Original Message-----
From: r-sig-finance-bounces at r-project.org
[mailto:r-sig-finance-bounces at r-project.org] On Behalf Of Michael
Sent: Friday, December 30, 2011 10:22 AM
To: r-sig-finance
Subject: [R-SIG-Finance] Removing outliers in tick data in R?

Happy holidays all!

I know it's very subjective to determine whether some data is outlier or
not...

But are there reasonably good and realistic methods of identifying
outliers/errornous quotes  in tick data in R?

Thanks a lot!

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