This package accomplishes two tasks: a) it classifies implicit trading activity from quotes in OTC markets using the algorithm of Lee and Ready (1991); b) based on information for trade initiation, the package computes the probability of informed trading of Easley and O'Hara (1987).
|Date of publication||2012-04-03 21:01:52|
|Maintainer||Paolo Zagaglia <[email protected]>|
|Package repository||View on CRAN|
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