Description Usage Arguments Details Value References
Evaluates likelihood function either utilizing factorization by Easley et. al (2010) or Lin and Ke (2011).
1 2 |
param |
numeric: (named) vector of model parameters
(valid names: |
numbuys |
numeric: vector of daily buys |
numsells |
numeric: vector of daily sells |
factorization |
character: switch between EHO ('EHO') and Lin-Ke ('Lin_Ke') factorization |
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.
numeric: likelihood function value
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
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