FinAsym: Classifies implicit trading activity from market quotes and computes the probability of informed trading
Version 1.0

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).

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AuthorPaolo Zagaglia
Date of publication2012-04-03 21:01:52
MaintainerPaolo Zagaglia <paolo.zagaglia@gmail.com>
LicenseGPL-3
Version1.0
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("FinAsym")

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...

Functions

FinAsym Man page
FinAsym-package Man page
classify_quotes Man page Source code
pin_likelihood Man page Source code

Files

MD5
R
R/FinAsym.R
NAMESPACE
man
man/pin_likelihood.Rd
man/FinAsym-package.Rd
man/classify_quotes.Rd
DESCRIPTION
FinAsym documentation built on May 19, 2017, 4:35 p.m.