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).


Reference manual

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1.0 by Paolo Zagaglia, 10 years ago

Browse source code at

Authors: Paolo Zagaglia

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-3 license

See at CRAN