pin_calc: Probability of Informed Trading

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

Description

Calculates the probability of informed trading.

Usage

pin_calc(param = NULL)

Arguments

param

numeric: (named) vector of model parameters (valid names: 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu'), length must equal 5

Details

If names are not set for param or one or more of the vector names do not match the valid choices, they are internally set to 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu' (in this order).

Value

numeric: probability of informed trading

References

Easley, David et al. (2002)
Is Information Risk a Determinant of Asset Returns?
The Journal of Finance, Volume 57, Number 5, pp. 2185 - 2221
doi: 10.1111/1540-6261.00493

Easley, David et al. (1996)
Liquidity, Information, and Infrequently Traded Stocks
The Journal of Finance, Volume 51, Number 4, pp. 1405 - 1436
doi: 10.1111/j.1540-6261.1996.tb04074.x

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