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

Package Interface

pin_ll computes likelihood functions in static $\pintext$ models, either incorporating the factorization by @EHO2010 or @LinKe. The function is designed for the extended EHO model, but can also be applied to the simple model structure for equal values of $\intensuninfbuys$ and $\intensuninfsells$.

Trading data is passed with the arguments numbuys and numsells, which take numeric vectors of equal length for daily buys and sells. Model parameters can be specified by param argument. The numeric vector passed to param is pre-checked. It is verified that the length of the vector equals 5, otherwise an error is thrown to the console and computation is aborted. Either param has to be a named vector (accepted names are: "alpha", "delta", "epsilon_b", "epsilon_s" and "mu") or sorting of entries needs to be done properly. If names are not set or one or more names do not match the valid choices, param is silently renamed with strings "alpha", "delta", "epsilon_b", "epsilon_s" and "mu" (in this order). For the factorization argument the user can choose between "Lin_Ke" and "EHO" strings.

pinbasic documentation built on May 2, 2019, 2:07 a.m.