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, 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.

AuthorAndreas Recktenwald [aut, cre]
Date of publication2017-01-12 01:05:22
MaintainerAndreas Recktenwald <a.recktenwald@mx.uni-saarland.de>
LicenseGPL-3 | file LICENSE
Version1.0.1

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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/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

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