get_posteriors: Posterior probabilities for PIN and MPIN estimates

In monty-se/PINstimation: Estimation of the Probability of Informed Trading

Posterior probabilities for PIN and MPIN estimates

Description

Computes, for each day in the sample, the posterior probability that the day is a no-information day, good-information day and bad-information day, respectively (\insertCiteEasley1992;textualPINstimation, \insertCiteEasley1996;textualPINstimation, \insertCiteErsan2016;textualPINstimation).

Usage

get_posteriors(object)

Arguments

object

(S4 object) an object of type estimate.pin, estimate.mpin, or estimate.mpin.ecm.

Value

If the argument object is of type estimate.pin, returns a dataframe of three variables post.N, post.G and post.B containing in each row the posterior probability that a given day is a no-information day (N), good-information day (G), or bad-information day (B) respectively.

If the argument object is of type estimate.mpin or estimate.mpin.ecm, with J layers, returns a dataframe of 2*J+1 variables Post.N, and Post.G[j] and Post.B[j] for each layer j containing in each row the posterior probability that a given day is a no-information day, good-information day in layer j or bad-information day in layer j, for each layer j respectively.

If the argument object is of any other type, an error is returned.

References

\insertAllCited

Examples

# There is a preloaded quarterly dataset called 'dailytrades' with 60
# observations. Each observation corresponds to a day and contains the
# total number of buyer-initiated trades ('B') and seller-initiated
# trades ('S') on that day. To know more, type ?dailytrades

xdata <- dailytrades

# ------------------------------------------------------------------------ #
# Posterior probabilities for PIN estimates                                #
# ------------------------------------------------------------------------ #

# Estimate PIN using the Ersan and Alici (2016) algorithm and the
# factorization Lin and Ke(2011).

estimate <- pin_ea(xdata, "LK", verbose = FALSE)

# Display the estimated PIN value

estimate@pin

# Store the posterior probabilities in a dataframe variable and display its
# first 6 rows.

modelposteriors <- get_posteriors(estimate)
show(round(head(modelposteriors), 3))

# ------------------------------------------------------------------------ #
# Posterior probabilities for MPIN estimates                               #
# ------------------------------------------------------------------------ #

# Estimate MPIN via the ECM algorithm, assuming that the dataset has 2
# information layers

estimate <- mpin_ecm(xdata, layers = 2, verbose = FALSE)

# Display the estimated Multilayer PIN value

show(estimate@mpin)

# Store the posterior probabilities in a dataframe variable and display its
# first six rows. The posterior probabilities are contained in a dataframe
# with 7 variables: one for no-information days, and two variables for each
# layer, one for good-information days and one for bad-information days.

modelposteriors <- get_posteriors(estimate)
show(round(head(modelposteriors), 3))

monty-se/PINstimation documentation built on Oct. 22, 2024, 8:04 p.m.