R/pin_calc.R

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

#' Probability of Informed Trading
#'
#' Calculates the probability of informed trading.
#'
#' If names are not set for \code{param} or one or more of the vector names do not match the valid choices, they are internally set to
#' \code{'alpha'}, \code{'delta'}, \code{'epsilon_b'}, \code{'epsilon_s'}, \code{'mu'} (in this order).
#'
#' @inheritParams pin_ll
#'
#' @return \emph{numeric}: probability of informed trading
#'
#' @references
#' Easley, David et al. (2002) \cr
#' Is Information Risk a Determinant of Asset Returns? \cr
#' \emph{The Journal of Finance}, Volume 57, Number 5, pp. 2185 - 2221 \cr
#' \doi{10.1111/1540-6261.00493}
#'
#' Easley, David et al. (1996) \cr
#' Liquidity, Information, and Infrequently Traded Stocks\cr
#' \emph{The Journal of Finance}, Volume 51, Number 4, pp. 1405 - 1436 \cr
#' \doi{10.1111/j.1540-6261.1996.tb04074.x}
#'
#' @export

pin_calc <- function(param = NULL) {
  param <- param_check(param)
  
  res <- (param["alpha"] * param["mu"])/
         (param["alpha"] * param["mu"] + param["epsilon_b"] + param["epsilon_s"])
  
  names(res) <- NULL
  res
}