LOBster - Limit Order Book System
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| LOBster is online data-generating tool. The name stands for Limit Order
Book System - Thorough Efficient Reliable.
LOBster generates limit order book
data from order-flow messages recorded by stock exchanges (e.g.
NASDAQ). Data preparation is one of the major obstacles hindering
academic research in this area. Managing considerable amounts of data,
understanding exchange-proprietary data specifications and implementing
efficient reconstruction algorithm are serious undertakings. It is our
hope that LOBster will allow researchers to skip this tedious task and
focus on research questions. |
For full access to the database visit http://lobster.wiwi.hu-berlin.de/Lobster/index.jsp
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JMulTi -
Multiple Time Series Analysis with Java
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| JMulTi is a new interactive
software for univariate and multiple time series analysis. It consists
of several modules that provide a rich set of modern econometric
methods, for example VAR, VEC, STR, and ARCH modelling. The software is
under constant development, the maintainer is Markus Krätzig. |
| For more information and
download, check: www.jmulti.com |
| Screenshots:
VECM Estimation & VECM Impulse Response Analysis |
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MulTi 1.0
(requires DOS)
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| MulTi 1.0 is a menu-driven
GAUSS program for multiple time series analysis that was developed in
the early 90s. It is not maintained anymore. But especially the VARMA
modelling possibilities make this piece of software still interesting
for certain applications. |
| MulTi |
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| Software
we use |
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Some other software |
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Some useful software links |
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