pin_ll: Likelihood factorizations

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

Description

Evaluates likelihood function either utilizing factorization by Easley et. al (2010) or Lin and Ke (2011).

Usage

pin_ll(param = NULL, numbuys = NULL, numsells = NULL,
  factorization = "Lin_Ke")

Arguments

param	numeric: (named) vector of model parameters (valid names: 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu'), length must equal 5
numbuys	numeric: vector of daily buys
numsells	numeric: vector of daily sells
factorization	character: switch between EHO ('EHO') and Lin-Ke ('Lin_Ke') factorization

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). Vectors for numbuys and numsells need to have same length.

Value

numeric: likelihood function value

References

Easley, David et al. (2010)
Factoring Information into Returns
Journal of Financial and Quantitative Analysis, Volume 45, Issue 2, pp. 293 - 309
doi: 10.1017/S0022109010000074

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
doi: 10.1016/j.finmar.2011.03.001

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