README.md

Introduction

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 graphiocs drawn from the microstructure literature and aims to be useful both for professional and academic researchers.

Details

This is an R package which uses xts time series objects to manipulate and analyze:

References

Cartea, Penalva, Jaimungal. 2015. Algorithmic and High-Frequency Trading. Cambridge.

Easley, López de Prado, D. 2012. “Flow Toxicity and Liquidity in a High-Frequency World.” Review of Financial Studies 25 (5): 1456–93.

Easley, O’Hara, D. 1996. “Liquidity, Information, and Infrequently Traded Stocks.” The Journal of Finance. 2 51 (4): 1405–36.

Hendershot, Menkveld. 2014. “Price Pressures.” Journal of Financial Econometrics 114: 405–23.

Jong, Rindi de. 2009. The Microstructure of Financial Markets. Cambridge.

Rama Cont, Sasha Stoikov, Arseniy Kukanov. 2014. “The Price Impact of Order Book Events.” Journal of Financial Econometrics. 12, 47-88.



jmazar/obmodeling documentation built on June 8, 2017, 10:30 p.m.