Estimation of the Probability of Informed Trading
Estimation of adjusted PIN model
List of dataset objects
Simulated data object
Layer detection in trade-data
AdjPIN estimation results
MPIN estimation results
MPIN estimation results (ECM)
PIN estimation results
VPIN estimation results
Factorizations of the different PIN likelihood functions
Simulation of AdjPIN model data.
Simulation of MPIN model data
Posterior probabilities for PIN and MPIN estimates
AdjPIN initial parameter sets of Ersan & Ghachem (2022b)
AdjPIN initial parameter sets of Cheng and Lai (2021)
AdjPIN random initial sets
MPIN initial parameter sets of Ersan (2016)
Initial parameter sets of Ersan & Alici (2016)
Initial parameter set of Gan et al.(2015)
Initial parameter sets of Yan and Zhang (2012)
MPIN model estimation via an ECM algorithm
MPIN model estimation via standard ML methods
PIN estimation - custom initial parameter sets
PIN estimation - Bayesian approach
PIN estimation - initial parameter sets of Ersan & Alici (2016)
PIN estimation - initial parameter set of Gan et al. (2015)
PIN estimation - initial parameter sets of Yan & Zhang (2012)
An R package for estimating the probability of informed trading
Package-wide number of digits
Classification and aggregation of high-frequency data
Estimation of Volume-Synchronized PIN model
A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (2016); Adjusted PIN (AdjPIN) in Duarte and Young (2009); and volume-synchronized PIN (VPIN) in Easley et al. (2011, 2012). Implementations of various estimation methods suggested in the literature are included. Additional compelling features comprise posterior probabilities, an implementation of an expectation-maximization (EM) algorithm, and PIN decomposition into layers, and into bad/good components. Versatile data simulation tools, and trade classification algorithms are among the supplementary utilities. The package provides fast, compact, and precise utilities to tackle the sophisticated, error-prone, and time-consuming estimation procedure of informed trading, and this solely using the raw trade-level data.
Useful links