pinbasic: Fast and Stable Estimation of the Probability of Informed Trading (PIN)
Version 1.1.0

Utilities for fast and stable estimation of the probability of informed trading (PIN) in the model introduced by Easley et al. (2002) are implemented. Since the basic model developed by Easley et al. (1996) 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 publication2017-03-02 14:29:56
MaintainerAndreas Recktenwald <a.recktenwald@mx.uni-saarland.de>
LicenseGPL-3 | file LICENSE
Version1.1.0
URL https://github.com/anre005/pinbasic/
Package repositoryView on CRAN
InstallationInstall the latest version of this package by entering the following in R:
install.packages("pinbasic")

Getting started

README.md
pinbasic: An R Package for Fast and Stable Estimation of Static Models for the Probability of Informed Trading

Popular man pages

BSheavy: Daily Buys and Sells
ggplot.qpin: PIN Visualization
initial_vals: Initial values for PIN optimization
pin_calc: Probability of Informed Trading
pin_est_core: Optimization in PIN models
posterior: Posterior Probabilities
qpin: Quarterly PIN estimates
See all...

All man pages Function index File listing

Man pages

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

Functions

BSfrequent Man page
BSfrequent2015 Man page
BSheavy Man page
BSinfrequent Man page
assign_to_global Source code
bound_hit Source code
check_bs_dates Source code
ci_mc_helper Source code
cl_export Source code
eho Source code
ggplot.posterior Man page Source code
ggplot.qpin Man page Source code
init_grid_search Source code
init_hac Source code
init_hac_ref Source code
initial_vals Man page Source code
linke Source code
param_check Source code
pin_calc Man page Source code
pin_confint Man page Source code
pin_est Man page Source code
pin_est_core Man page Source code
pin_ll Man page Source code
pinbasic Man page
pinbasic-package Man page
posterior Man page Source code
qpin Man page Source code
simBS Source code
simulateBS Man page Source code
summary_car Source code
vcov_car Source code

Files

inst
inst/doc
inst/doc/pinbasicVignette.Rmd
inst/doc/pinbasicVignette.html
inst/doc/pinbasicVignette.R
src
src/simulateBS.cpp
src/EHO.cpp
src/init.c
src/LinKe.cpp
src/RcppExports.cpp
NAMESPACE
NEWS
NEWS.md
data
data/BSfrequent2015.rda
data/BSinfrequent.rda
data/BSheavy.rda
data/BSfrequent.rda
R
R/param_check.R
R/pin_max.R
R/simulate_data.R
R/initialCAR.R
R/qpin_plot.R
R/pin_calc.R
R/day_probs.R
R/data.R
R/pin_est.R
R/RcppExports.R
R/pin_confint.R
R/quarterly_pin.R
R/plot_post_states.R
R/summary.R
R/pin_ll_CAR.R
R/pinbasic.R
vignettes
vignettes/staticPINmodels
vignettes/staticPINmodels/StaticEHOshort.Rmd
vignettes/EKOPtree.png
vignettes/PostProbs
vignettes/PostProbs/PostProbs.Rmd
vignettes/pinbasicVignette.Rmd
vignettes/RDSfiles
vignettes/RDSfiles/qpin2015.rds
vignettes/RDSfiles/ci1.rds
vignettes/RDSfiles/systimeci1.rds
vignettes/RDSfiles/systimeci4.rds
vignettes/RDSfiles/ci4.rds
vignettes/RDSfiles/pin_bsheavy.rds
vignettes/Examples
vignettes/Examples/Examples.Rmd
vignettes/poissonrace.png
vignettes/Pinframenew.png
vignettes/Introduction
vignettes/Introduction/Introduction.Rmd
vignettes/tikzfigs
vignettes/tikzfigs/Pinframenew.tikz
vignettes/tikzfigs/Pinframenew.aux
vignettes/tikzfigs/EKOPtree.tex
vignettes/tikzfigs/EHOtree.log
vignettes/tikzfigs/EKOPtree.png
vignettes/tikzfigs/EHOtree.pdf
vignettes/tikzfigs/float64.tikz
vignettes/tikzfigs/EKOPtree.pdf
vignettes/tikzfigs/Pinframenew.log
vignettes/tikzfigs/poissonrace.png
vignettes/tikzfigs/Pinframenew.png
vignettes/tikzfigs/EKOPtree.tikz
vignettes/tikzfigs/EKOPtree.log
vignettes/tikzfigs/poissonrace.tex
vignettes/tikzfigs/EHOtree.tex
vignettes/tikzfigs/EHOtree.aux
vignettes/tikzfigs/poissonPIN.tikz
vignettes/tikzfigs/poissonrace.log
vignettes/tikzfigs/poissonrace.tikz
vignettes/tikzfigs/Pinframenew.tex
vignettes/tikzfigs/Pinframenew.pdf
vignettes/tikzfigs/EHOtree.tikz
vignettes/tikzfigs/EHOtree.png
vignettes/tikzfigs/countmeasure.tikz
vignettes/tikzfigs/poissonrace.pdf
vignettes/tikzfigs/poissonrace.aux
vignettes/tikzfigs/EKOPtree.aux
vignettes/tikzfigs/PINframe.tikz
vignettes/references.bib
vignettes/OptimizationStaticModels
vignettes/OptimizationStaticModels/InitValsClusterRefined.Rmd
vignettes/OptimizationStaticModels/PackageInterfaceFactr.Rmd
vignettes/OptimizationStaticModels/EHOfactr.Rmd
vignettes/OptimizationStaticModels/OptimizationStaticModels.Rmd
vignettes/OptimizationStaticModels/Introfactr.Rmd
vignettes/OptimizationStaticModels/LinKefactr.Rmd
vignettes/OptimizationStaticModels/InitValsGrid.Rmd
vignettes/OptimizationStaticModels/InitValsCluster.Rmd
vignettes/OptimizationStaticModels/IntroInitial.Rmd
vignettes/OptimizationStaticModels/PackageInterfaceInitial.Rmd
vignettes/EHOtree.png
vignettes/General
vignettes/General/GenAssumptions.Rmd
README.md
MD5
build
build/vignette.rds
build/partial.rdb
DESCRIPTION
man
man/simulateBS.Rd
man/ggplot.posterior.Rd
man/initial_vals.Rd
man/pin_confint.Rd
man/BSinfrequent.Rd
man/BSfrequent2015.Rd
man/pinbasic.Rd
man/pin_ll.Rd
man/pin_calc.Rd
man/BSheavy.Rd
man/pin_est_core.Rd
man/pin_est.Rd
man/qpin.Rd
man/ggplot.qpin.Rd
man/posterior.Rd
man/BSfrequent.Rd
LICENSE
pinbasic documentation built on May 19, 2017, 10:37 p.m.

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