FinAsym: Classifies implicit trading activity from market quotes and computes the probability of informed trading

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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).

Author
Paolo Zagaglia
Date of publication
2012-04-03 21:01:52
Maintainer
Paolo Zagaglia <paolo.zagaglia@gmail.com>
License
GPL-3
Version
1.0

View on CRAN

Man pages

classify_quotes
Classification of implicit trade origination from market...
FinAsym-package
Classifies implicit trading activity from market quotes and...
pin_likelihood
Log-likelihood function for the estimation of the structural...

Files in this package

FinAsym
FinAsym/MD5
FinAsym/R
FinAsym/R/FinAsym.R
FinAsym/NAMESPACE
FinAsym/man
FinAsym/man/pin_likelihood.Rd
FinAsym/man/FinAsym-package.Rd
FinAsym/man/classify_quotes.Rd
FinAsym/DESCRIPTION