In anre005/pinbasic: Fast and Stable Estimation of the Probability of Informed Trading (PIN)

Package Interface

initial_vals generates set(s) of starting values which can be used in optimization routines estimating the probability of informed trading. It is a wrapper around the specialized functions init_grid_search, init_hac and init_hac_ref.^[ The specialized functions for generating initial values are not exported.] Arguments numbuys and numsells take vectors of daily buys and sells. The algorithm for calculating initial values can be specified via method argument by which the user can choose one of the previous discussed methods. Brute force grid search algorithm can be chosen via "Grid", for HAC or refined HAC algorithm method needs to equal "HAC" or "HAC_Ref".

In addition, there are method-specific arguments length, num_clust and details. The length argument is relevant only for grid search in which it determines the grid width by which the interval $\left[0.1, 0.9\right]$ is split. This influences the amount of possible initial values for the probability parameters $\probinfevent$ and $\probbadnews$ as well as $\gamma$. If details is set to TRUE and method = "Grid" a list is returned with elements representing a matrix with sets of starting values, the number of sets removed due to negative values for the intensity of uninformed sells and guesses for the intensity of informed trading that are larger than the highest observed number of buys or sells in the data. Otherwise, solely a matrix of initial values is returned. Function argument num_clust determines the number of clusters trading data is grouped into if method = "HAC_Ref".

anre005/pinbasic documentation built on May 6, 2022, 4:40 a.m.