InfoTrad-package: Calculates the Probability of Informed Trading (PIN)

Description Author(s) References

Description

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> .

Author(s)

Duygu Celik and Murat Tinic

Maintainer: Murat Tinic <[email protected]>

References

D. Easley, N. M. Kiefer, M. O'Hara, and J.B. Paperman. Liquidity, information, and infrequently traded stocks. The Journal of Finance, 51(4):1405-1436, 1996

D. Easley, S. Hvidkjaer, and M. O'Hara. Is information risk a determinant of asset returns? The Journal of Finance, 57(5): 2185-2221, 2002.

D. Easley, S. Hvidkjaer, and M. O'Hara. Factoring information into returns. Journal of Financial and Quantitative Analysis, 45(2): 293-309, 2010.

Ersan, O., and Alici, A. An unbiased computation methodology for estimating the probability of informed trading (PIN). Journal of International Financial Markets, Institutions and Money, 43(1):74-94, 2016.

Q. Gan, W.C. Wei, and D. Johnstone. A faster estimation method for the probability of informed trading using hierarhical agglomerative clustering. Quantitative Finance, 15(11):1805-1821, 2015

H.W. W. Lin and W. C. Ke. A computing bias in estimating the probability of informed trading. Journal of Financial Markets, 14(4):625-640, 2011.

D. Mullner. fastcluster: Fast hierarchical, agglomerative clustering routines for r and python. Journal of Statistical Software, 53(9):1-18, 2013.

Y. Yan and S. Zhang. An improved estimation method and empirical properties of the probability of informed trading. Journal of Banking & Finance, 36(2):454-467, 2012.


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