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

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).

Version: 1.0
Published: 2012-04-03
Author: Paolo Zagaglia
Maintainer: Paolo Zagaglia <paolo.zagaglia at gmail.com>
License: GPL-3
NeedsCompilation: no
In views: Finance
CRAN checks: FinAsym results

Downloads:

Reference manual: FinAsym.pdf
Package source: FinAsym_1.0.tar.gz
MacOS X binary: FinAsym_1.0.tgz
Windows binary: FinAsym_1.0.zip