compute_pin: Computes the probability of informed trading
In simonsays1980/bayespin: An R package for Bayesian estimation of the probability of informed trading
Description
Usage
Arguments
Value
References
See Also
Examples
Description
Calling compute_pin() computes the probability of informed trading (PIN)
from the EKOP model for provided parameters. See Easley et al. (1996) for
details.
Usage
1
compute_pin(alpha, epsilon, mu)
Arguments
alpha
A double specifying the probability of an information event.
epsilon
A double specifying the arrival rate of uninformed traders.
mu
A double specifying the arrival rate of informed traders.
Value
The probability of informed trading.
References
Easley, D., Kiefer, N., O’Hara, M., Paperman, J., 1996. Liquidity,
information, and infrequently traded stocks. Journal of Finance 51,
1405–1436.
See Also
-
compute_bayespin() for computing the PIN from bayesian parameter
estimates
Examples
1
compute_pin(.2, .25, .01)
simonsays1980/bayespin documentation built on Dec. 23, 2021, 2:25 a.m.
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Description Usage Arguments Value References See Also Examples
Description
Calling compute_pin() computes the probability of informed trading (PIN)
from the EKOP model for provided parameters. See Easley et al. (1996) for
details.
Usage
1 | compute_pin(alpha, epsilon, mu)
|
Arguments
alpha |
A double specifying the probability of an information event. |
epsilon |
A double specifying the arrival rate of uninformed traders. |
mu |
A double specifying the arrival rate of informed traders. |
Value
The probability of informed trading.
References
Easley, D., Kiefer, N., O’Hara, M., Paperman, J., 1996. Liquidity, information, and infrequently traded stocks. Journal of Finance 51, 1405–1436.
See Also
-
compute_bayespin()for computing the PIN from bayesian parameter estimates
Examples
1 | compute_pin(.2, .25, .01)
|
R Package Documentation
Browse R Packages
We want your feedback!
Note that we can't provide technical support on individual packages. You should contact the package authors for that.
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