pin_calc | R Documentation |
Calculates the probability of informed trading.
pin_calc(param = NULL)
param |
numeric: (named) vector of model parameters
(valid names: |
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).
numeric: 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
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
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