simonsays1980/bayespin: An R package for Bayesian estimation of the probability of informed trading

An R package for Bayesian estimation of the probability of informed trading from a finite mixture distribution. The original model by Easley et al. (1996) can be converted into a compressed model that is a finite mixture distribution as has been shown by Grammig et al. (1996). This package implements the Bayesian estimation of the compressed model together with the traditional approaches using maximum likelihood. The package uses C++ code and performs a single estimation in around 4-5 seconds.

install.packages("remotes")
remotes::install_github("simonsays1980/bayespin")