InfoTrad: Calculates the Probability of Informed Trading (PIN)
Version 1.2

Estimates the probability of informed trading (PIN) initially introduced by Easley et. al. (1996) . Contribution of the package is that it uses likelihood factorizations of Easley et. al. (2010) (EHO factorization) and Lin and Ke (2011) (LK factorization). Moreover, the package uses different estimation algorithms. Specifically, the grid-search algorithm proposed by Yan and Zhang (2012) , hierarchical agglomerative clustering approach proposed by Gan et. al. (2015) and later extended by Ersan and Alici (2016) .

Package details

AuthorDuygu Celik and Murat Tinic
Date of publication2017-08-21 05:59:33 UTC
MaintainerMurat Tinic <[email protected]>
Package repositoryView on CRAN
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InfoTrad documentation built on Aug. 21, 2017, 9:02 a.m.