InfoTrad: Calculates the Probability of Informed Trading (PIN)

Estimates the probability of informed trading (PIN) initially introduced by Easley et. al. (1996) <doi:10.1111/j.1540-6261.1996.tb04074.x> . Contribution of the package is that it uses likelihood factorizations of Easley et. al. (2010) <doi:10.1017/S0022109010000074> (EHO factorization) and Lin and Ke (2011) <doi:10.1016/j.finmar.2011.03.001> (LK factorization). Moreover, the package uses different estimation algorithms. Specifically, the grid-search algorithm proposed by Yan and Zhang (2012) <doi:10.1016/j.jbankfin.2011.08.003> , hierarchical agglomerative clustering approach proposed by Gan et. al. (2015) <doi:10.1080/14697688.2015.1023336> and later extended by Ersan and Alici (2016) <doi:10.1016/j.intfin.2016.04.001> .

Package details

AuthorDuygu Celik and Murat Tinic
MaintainerMurat Tinic <[email protected]>
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the InfoTrad package in your browser

Any scripts or data that you put into this service are public.

InfoTrad documentation built on Aug. 21, 2017, 9:02 a.m.