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.
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docs(cran): address CRAN notes and reduce check time
ac6a463View on GitHubdocs(release): finalize submission docs for 0.2.0
c7a7830View on GitHubMerge branch 'master' of https://github.com/monty-se/PINstimation
e523c56View on GitHubdocs(vignette): clean up generated fulldata.RDS after knitting
8035e40View on GitHubchore: bump dev version; update package docs; fix imports + globals
f9a84bbView on GitHubMerge branch 'master' of https://github.com/monty-se/PINstimation
e2d910aView on GitHubfeat(vpin): optimize/refactor; fix bucket durations for dwvpin; add ivpin() + docs
bbeb6dbView on GitHub