Package: PINstimation 0.1.3.9000

PINstimation: Estimation of the Probability of Informed Trading

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.

Authors:Montasser Ghachem [aut, cre, cph], Oguz Ersan [aut]

PINstimation_0.1.3.9000.tar.gz
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PINstimation.pdf |PINstimation.html✨
PINstimation/json (API)
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Peer review:

Bug tracker:https://github.com/monty-se/pinstimation/issues

On CRAN:

clustering-analysisexpectation-maximisation-algorithmhierarchical-clusteringinformation-asymmetrymarket-microstructuremaximum-likelihood-estimationmixture-distributionspoisson-distribution

33 exports 30 stars 2.58 score 50 dependencies 14 scripts 290 downloads

Last updated 2 months agofrom:3045e74a0b. Checks:OK: 7. Indexed: yes.

Exports:adjpinaggregate_tradesclassify_tradesdetectlayers_edetectlayers_ecmdetectlayers_egfact_adjpinfact_mpinfact_pin_efact_pin_ehofact_pin_lkgeneratedata_adjpingeneratedata_mpinget_posteriorsgetSummaryinitials_adjpininitials_adjpin_clinitials_adjpin_rndinitials_mpininitials_pin_eainitials_pin_gwjinitials_pin_yzmpin_ecmmpin_mlpinpin_bayespin_eapin_gwjpin_yzselectModelset_display_digitsshowvpin

Dependencies:base64encbslibcachemclicodacodetoolsdigestdplyrevaluatefansifastmapfontawesomefsfurrrfuturegenericsglobalsgluehighrhtmltoolsjquerylibjsonliteknitrlatticelifecyclelistenvmagrittrmemoisemimenloptrparallellypillarpkgconfigpurrrR6rappdirsrbibutilsRdpackrlangrmarkdownsassskellamtibbletidyselecttinytexutf8vctrswithrxfunyaml