Calculates the Probability of Informed Trading (PIN)

Estimates the probability of informed trading (PIN) initially introduced by Easley et. al. (1996) . Contribution of the package is that it uses likelihood factorizations of Easley et. al. (2010) (EHO factorization) and Lin and Ke (2011) (LK factorization). Moreover, the package uses different estimation algorithms. Specifically, the grid-search algorithm proposed by Yan and Zhang (2012) , hierarchical agglomerative clustering approach proposed by Gan et. al. (2015) and later extended by Ersan and Alici (2016) .


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install.packages("InfoTrad")

1.2 by Murat Tinic, 2 years ago


Browse source code at https://github.com/cran/InfoTrad


Authors: Duygu Celik and Murat Tinic


Documentation:   PDF Manual  


Task views: Empirical Finance


GPL-3 license


Imports nloptr


See at CRAN