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) .


Reference manual

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1.2 by Murat Tinic, 4 years ago

Browse source code at

Authors: Duygu Celik and Murat Tinic

Documentation:   PDF Manual  

Task views: Empirical Finance

GPL-3 license

Imports nloptr

See at CRAN