simulateBS: Simulate trading data

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

Simulate trading data

Description

Simulates a matrix consisting of synthetic data for daily buys and sells

Usage

simulateBS(param, ndays)

Arguments

param	numeric: (named) vector of model parameters (valid names: 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu'), length must equal 5
ndays	integer: Number of trading days for which aggregated buys and sells are simulated, defaults to 60

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).

Value

numeric: Matrix with ndays rows and two columns which are named 'Buys' and 'Sells'.

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