FinAsym (version 1.0)

Classifies implicit trading activity from market quotes and computes the probability of informed trading

Description

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).

Copy Link

Version

Down Chevron

Install

install.packages('FinAsym')

Monthly Downloads

217

Version

1.0

License

GPL-3

Maintainer

Last Published

April 3rd, 2012

Functions in FinAsym (1.0)