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

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).

AuthorPaolo Zagaglia
Date of publication2012-04-03 21:01:52
MaintainerPaolo Zagaglia <paolo.zagaglia@gmail.com>
LicenseGPL-3
Version1.0

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