compute_bayespin: Calculates estimates of the probability of informed trading

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

Description

Calling compute_bayespin() calculates the probability of informed trading (PIN) from the paper of Easley et al. (1996). The input argument is an mcmcest (see mcmcest-class) object from the finmix package containing all parameters estimates from the finite mixture distribution of the compressed EKOP model in Grammig, Theissen and Zehnder (2015).

Usage

compute_bayespin(mcmcest)

Arguments

mcmcest

An mcmcest object of the finmix package containing all estimated parameters from the finite mixture distribution of the compressed EKOP model.

Value

A data.frame with estimated PINs from the maximum a posterior, the Bayesian maximum likelihood and the identified ergodic average parameter estimates of the underlying finite mixture distribution of the compressed EKOP model.

References

• Easley, D., Kiefer, N., O’Hara, M., Paperman, J., 1996. Liquidity, information, and infrequently traded stocks. Journal of Finance 51, 1405–1436.

• Grammig, J., Theissen, E., Zehnder, L.S., 2015. Bayesian Estimation of the Probability of Informed Trading. Conference on Financial Econometrics & Empirical Asset Pricing 2016, Lancaster University

See Also

• mcmcest-class for the definition of the mcmcest class union

• estimate_pin() for estimating the PIN with the Bayesian approach described in Grammig, Theissen and Zehnder (2015)

• compute_pin() for calculating the PIN for provided parameters

simonsays1980/bayespin documentation built on Dec. 23, 2021, 2:25 a.m.