Other packages > Find by keyword >

PINstimation  

Estimation of the Probability of Informed Trading
View on CRAN: Click here


Download and install PINstimation package within the R console
Install from CRAN:
install.packages("PINstimation")

Install from Github:
library("remotes")
install_github("cran/PINstimation")

Install by package version:
library("remotes")
install_version("PINstimation", "0.1.2")



Attach the package and use:
library("PINstimation")
Maintained by
Montasser Ghachem
[Scholar Profile | Author Map]
All associated links for this package
First Published: 2022-05-27
Latest Update: 2023-03-20
Description:
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.
How to cite:
Montasser Ghachem (2022). PINstimation: Estimation of the Probability of Informed Trading. R package version 0.1.2, https://cran.r-project.org/web/packages/PINstimation
Previous versions and publish date:
0.1.0 (2022-05-27 10:30), 0.1.1 (2022-10-19 00:58)
Other packages that cited PINstimation R package
View PINstimation citation profile
Other R packages that PINstimation depends, imports, suggests or enhances
Downloads during the last 30 days
Get rewarded with contribution points by helping add
Reviews / comments / questions /suggestions ↴↴↴

Today's Hot Picks in Authors and Packages

steepness  
Testing Steepness of Dominance Hierarchies
The steepness package computes steepness as a property of dominance hierarchies. Steepness is define ...
Download / Learn more Package Citations See dependency  
ftaproxim  
Fault Tree Analysis Based on Proxel Simulation
Calculation and plotting of instantaneous unavailabilities of basic events along with the top event ...
Download / Learn more Package Citations See dependency  
mistral  
Methods in Structural Reliability
Various reliability analysis methods for rare event inference (computing failure probability and qua ...
Download / Learn more Package Citations See dependency  
critpath  
Setting the Critical Path in Project Management
Solving the problem of project management using CPM (Critical Path Method), PERT (Program Evaluation ...
Download / Learn more Package Citations See dependency  
rdbnomics  
Download DBnomics Data
R access to hundreds of millions data series from DBnomics API (). ...
Download / Learn more Package Citations See dependency  
quickcode  
Quick and Essential 'R' Tricks for Better Scripts
The NOT functions, 'R' tricks and a compilation of some simple quick plus often used 'R' codes to im ...
Download / Learn more Package Citations See dependency  

22,114

R Packages

188,080

Dependencies

55,244

Author Associations

22,115

Publication Badges

© Copyright 2022 - present. All right reserved, rpkg.net. Contact Us / Suggestions / Concerns