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).


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install.packages("FinAsym")

1.0 by Paolo Zagaglia, 7 years ago


Browse source code at https://github.com/cran/FinAsym


Authors: Paolo Zagaglia


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license



See at CRAN