pinbasic: Fast and Stable Estimation of the Probability of Informed Trading (PIN)

Utilities for fast and stable estimation of the probability of informed trading (PIN) in the model introduced by Easley et al. (2002) <DOI:10.1111/1540-6261.00493> are implemented. Since the basic model developed by Easley et al. (1996) <DOI:10.1111/j.1540-6261.1996.tb04074.x> is nested in the former due to equating the intensity of uninformed buys and sells, functionalities can also be applied to this simpler model structure, if needed.

Author
Andreas Recktenwald [aut, cre]
Date of publication
2016-12-02 23:07:13
Maintainer
Andreas Recktenwald <a.recktenwald@mx.uni-saarland.de>
License
GPL-3 | file LICENSE
Version
0.2.0

View on CRAN

Man pages

BSfrequent
Daily Buys and Sells
BSfrequent2015
Daily Buys and Sells
BSheavy
Daily Buys and Sells
BSinfrequent
Daily Buys and Sells
initial_vals
Initial values for PIN optimization
pinbasic
A Package for Fast and Stable Estimation of the Probability...
pin_calc
Probability of Informed Trading
pin_confint
PIN confidence intervals
pin_est
Estimating PIN
pin_est_core
Optimization in PIN models
pin_ll
Likelihood factorizations
qpin
Quarterly PIN estimates
qpin_plot
PIN Visualization
simulateBS
Simulate trading data

Files in this package

pinbasic
pinbasic/inst
pinbasic/inst/doc
pinbasic/inst/doc/pinbasicVignette.Rmd
pinbasic/inst/doc/pinbasicVignette.html
pinbasic/inst/doc/pinbasicVignette.R
pinbasic/NAMESPACE
pinbasic/NEWS
pinbasic/NEWS.md
pinbasic/data
pinbasic/data/BSfrequent2015.rda
pinbasic/data/BSinfrequent.rda
pinbasic/data/BSheavy.rda
pinbasic/data/BSfrequent.rda
pinbasic/R
pinbasic/R/param_check.R
pinbasic/R/pin_max.R
pinbasic/R/simulate_data.R
pinbasic/R/initialCAR.R
pinbasic/R/qpin_plot.R
pinbasic/R/pin_calc.R
pinbasic/R/data.R
pinbasic/R/pin_est.R
pinbasic/R/pin_confint.R
pinbasic/R/quarterly_pin.R
pinbasic/R/summary.R
pinbasic/R/pin_ll_CAR.R
pinbasic/R/pinbasic.R
pinbasic/vignettes
pinbasic/vignettes/staticPINmodels
pinbasic/vignettes/staticPINmodels/StaticEHOshort.Rmd
pinbasic/vignettes/EKOPtree.png
pinbasic/vignettes/pinbasicVignette.Rmd
pinbasic/vignettes/RDSfiles
pinbasic/vignettes/RDSfiles/qpin2015.rds
pinbasic/vignettes/RDSfiles/ci1.rds
pinbasic/vignettes/RDSfiles/systimeci1.rds
pinbasic/vignettes/RDSfiles/systimeci4.rds
pinbasic/vignettes/RDSfiles/ci4.rds
pinbasic/vignettes/RDSfiles/pin_bsheavy.rds
pinbasic/vignettes/Examples
pinbasic/vignettes/Examples/Examples.Rmd
pinbasic/vignettes/poissonrace.png
pinbasic/vignettes/Pinframenew.png
pinbasic/vignettes/Introduction
pinbasic/vignettes/Introduction/Introduction.Rmd
pinbasic/vignettes/references.bib
pinbasic/vignettes/OptimizationStaticModels
pinbasic/vignettes/OptimizationStaticModels/InitValsClusterRefined.Rmd
pinbasic/vignettes/OptimizationStaticModels/PackageInterfaceFactr.Rmd
pinbasic/vignettes/OptimizationStaticModels/EHOfactr.Rmd
pinbasic/vignettes/OptimizationStaticModels/OptimizationStaticModels.Rmd
pinbasic/vignettes/OptimizationStaticModels/Introfactr.Rmd
pinbasic/vignettes/OptimizationStaticModels/LinKefactr.Rmd
pinbasic/vignettes/OptimizationStaticModels/InitValsGrid.Rmd
pinbasic/vignettes/OptimizationStaticModels/InitValsCluster.Rmd
pinbasic/vignettes/OptimizationStaticModels/IntroInitial.Rmd
pinbasic/vignettes/OptimizationStaticModels/PackageInterfaceInitial.Rmd
pinbasic/vignettes/EHOtree.png
pinbasic/vignettes/General
pinbasic/vignettes/General/GenAssumptions.Rmd
pinbasic/vignettes/Examples.Rmd
pinbasic/MD5
pinbasic/build
pinbasic/build/vignette.rds
pinbasic/build/partial.rdb
pinbasic/DESCRIPTION
pinbasic/man
pinbasic/man/simulateBS.Rd
pinbasic/man/initial_vals.Rd
pinbasic/man/pin_confint.Rd
pinbasic/man/BSinfrequent.Rd
pinbasic/man/BSfrequent2015.Rd
pinbasic/man/pinbasic.Rd
pinbasic/man/pin_ll.Rd
pinbasic/man/pin_calc.Rd
pinbasic/man/BSheavy.Rd
pinbasic/man/pin_est_core.Rd
pinbasic/man/pin_est.Rd
pinbasic/man/qpin.Rd
pinbasic/man/qpin_plot.Rd
pinbasic/man/BSfrequent.Rd
pinbasic/LICENSE