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).

Package details

AuthorPaolo Zagaglia
MaintainerPaolo Zagaglia <paolo.zagaglia@gmail.com>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("FinAsym")

Try the FinAsym package in your browser

Any scripts or data that you put into this service are public.

FinAsym documentation built on May 2, 2019, 5:46 a.m.