Files in jmazar/obmodeling

Modeling, Analysis, and Graphics of Limit Order Book Data

.Rbuildignore

.gitignore

DESCRIPTION

NAMESPACE

R/bidask_changes.R R/chart.depth.R R/effective_spread.R R/envir_utils.R R/load.R R/load_trades.R R/market_depth_stats.R R/obmodeling.R R/quoted_spread.R R/realised_volatility.R R/ticks_wide.R R/trade_imbalance.R R/trade_size_stats.R R/vpin.R R/wmp.R R/zzz.R README.md

inst/extdata/ob_quotes.csv

inst/extdata/ob_trades.csv

man/bidask.changes.Rd man/chart.depth.Rd man/effective.spread.Rd man/lm.trade.imbalance.Rd man/load.trades.Rd man/market.depth.stats.Rd man/newOB.Rd man/obmodeling-package.Rd man/ticks.wide.Rd man/trade.size.stats.Rd man/wmp.Rd

vignettes/figures/obthroughtime.png

vignettes/obmodeling-RFinance2017.Rmd

vignettes/obmodeling.bib

jmazar/obmodeling documentation built on March 27, 2022, 12:55 a.m.