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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).

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Version

Install

install.packages('FinAsym')

Monthly Downloads

31

Version

1.0

License

GPL-3

Maintainer

Paolo Zagaglia

Last Published

April 3rd, 2012

Functions in FinAsym (1.0)

classify_quotes

Classification of implicit trade origination from market quotes
FinAsym-package

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

Log-likelihood function for the estimation of the structural model of Easley and O'Hara (1987).