jmazar/obmodeling: Modeling, Analysis, and Graphics of Limit Order Book Data
Version 0.1

The obmodeling package is designed to allow for modeling of order book features and dynamics based on L1 and L2 data. It includes analytical methods and graphics drawn from the microstructure literature and aims to be useful for both professional and academic researchers.

Getting started

Package details

Maintainer
LicenseGPL-3
Version0.1
URL https://github.com/jmazar/obmodeling
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("devtools")
library(devtools)
install_github("jmazar/obmodeling")
jmazar/obmodeling documentation built on June 8, 2017, 10:30 p.m.