Estimates the probability of informed trading (PIN) for daily buys and sells trading data for arbitrary number of trading days.
numeric: vector of daily buys
numeric: vector of daily sells
logical: Compute confidence intervals for PIN?
logical: Should posterior probabilities for conditions of trading days be computed?
User-friendly wrapper around workhorse function
nlminb function in the stats package is used for maximization.
In the literature, at least data for 60 trading days is recommended to ensure convergence of optimization.
No information about the trading days' dates is needed.
numsells need to have same length.
Calculation of confidence interval for the probability of informed trading is disabled by default. For more details see
A list with the following components:
Matrix containing the parameter estimates as well as their estimated standard errors, t-values and p-values.
Value of likelihood function returned by
Estimated probability of informed trading
Convergence code for nlminb optimization
Convergence message returned by the nlminb optimizer
Number of iterations until convergence of nlminb optimizer
Vector of initial values
confint = TRUE; confidence interval for the probability of informed trading
Easley, David et al. (2002)
Is Information Risk a Determinant of Asset Returns?
The Journal of Finance, Volume 57, Number 5, pp. 2185 - 2221
Easley, David et al. (1996)
Liquidity, Information, and Infrequently Traded Stocks
The Journal of Finance, Volume 51, Number 4, pp. 1405 - 1436
Easley, David et al. (2010)
Factoring Information into Returns
Journal of Financial and Quantitative Analysis, Volume 45, Issue 2, pp. 293 - 309
Ersan, Oguz and Alici, Asli (2016)
An unbiased computation methodology for estimating the probability of informed trading (PIN)
Journal of International Financial Markets, Institutions and Money, Volume 43, pp. 74 - 94
Gan, Quan et al. (2015)
A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering
Quantitative Finance, Volume 15, Issue 11, pp. 1805 - 1821
Lin, Hsiou-Wei William and Ke, Wen-Chyan (2011)
A computing bias in estimating the probability of informed trading
Journal of Financial Markets, Volume 14, Issue 4, pp. 625 - 640
Yan, Yuxing and Zhang, Shaojun (2012)
An improved estimation method and empirical properties of the probability of informed trading
Journal of Banking & Finance, Volume 36, Issue 2, pp. 454 - 467
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