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Humboldt-Universität zu Berlin -

Software

 

LOBster - Limit Order Book System

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 www.lobsterdata.com
 

JMulTi - Multiple Time Series Analysis with Java

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
   

MulTi 1.0 (requires DOS)

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
   
Software we use
Some other software
Some useful software links