Thanks a lot Eric!

I am digesting your excellent pointers! Just a quick question to confirm:

In my earlier question, by "tick data" I meant what I have is the time
series of best-bids and the time series of best-asks, time-stamped at
arrival times...  these are not Level 2 order book data.

Do you think the outlier removal algorithm in the RTAQ model will help me
remove the outliers in the above mentioned time series?

Thanks again!

On Fri, Dec 30, 2011 at 1:06 PM, Eric Zivot <ezivot@u.washington.edu> wrote:

> 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@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@r-project.org
> [mailto:r-sig-finance-bounces@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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