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, functions can also be applied to this simpler model structure, if needed. State-of-the-art factorization of the model likelihood function as well as most recent algorithms for generating initial values for optimization routines are implemented. In total, two likelihood factorizations and three methodologies for starting values are included. Furthermore, functions for simulating datasets of daily aggregated buys and sells, calculating confidence intervals for the probability of informed trading and posterior probabilities of trading days' conditions are available.

Author | Andreas Recktenwald [aut, cre] |

Date of publication | 2017-01-12 01:05:22 |

Maintainer | Andreas Recktenwald <a.recktenwald@mx.uni-saarland.de> |

License | GPL-3 | file LICENSE |

Version | 1.0.1 |

**BSfrequent:** Daily Buys and Sells

**BSfrequent2015:** Daily Buys and Sells

**BSheavy:** Daily Buys and Sells

**BSinfrequent:** Daily Buys and Sells

**ggplot.posterior:** Visualization of Posterior Probabilities

**ggplot.qpin:** PIN Visualization

**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

**posterior:** Posterior Probabilities

**qpin:** Quarterly PIN estimates

**simulateBS:** Simulate trading data

BSfrequent | Man page |

BSfrequent2015 | Man page |

BSheavy | Man page |

BSinfrequent | Man page |

ggplot.posterior | Man page |

ggplot.qpin | Man page |

initial_vals | Man page |

pinbasic | Man page |

pinbasic-package | Man page |

pin_calc | Man page |

pin_confint | Man page |

pin_est | Man page |

pin_est_core | Man page |

pin_ll | Man page |

posterior | Man page |

qpin | Man page |

simulateBS | Man page |

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/day_probs.R
pinbasic/R/data.R
pinbasic/R/pin_est.R
pinbasic/R/pin_confint.R
pinbasic/R/quarterly_pin.R
pinbasic/R/plot_post_states.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/PostProbs

pinbasic/vignettes/PostProbs/PostProbs.Rmd

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/MD5

pinbasic/build

pinbasic/build/vignette.rds

pinbasic/build/partial.rdb

pinbasic/DESCRIPTION

pinbasic/man

pinbasic/man/simulateBS.Rd
pinbasic/man/ggplot.posterior.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/ggplot.qpin.Rd
pinbasic/man/posterior.Rd
pinbasic/man/BSfrequent.Rd
pinbasic/LICENSE

Questions? Problems? Suggestions? Tweet to @rdrrHQ or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

All documentation is copyright its authors; we didn't write any of that.