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PINstimation
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]
[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
Other packages that cited PINstimation R package
View PINstimation citation profile
Other R packages that PINstimation depends,
imports, suggests or enhances
Functions, R codes and Examples using
the PINstimation R package
Some associated functions: PINstimation-package . adjpin . aggregate_trades . dailytrades . data.series-class . dataset-class . detecting-layers . estimate.adjpin-class . estimate.mpin-class . estimate.mpin.ecm-class . estimate.pin-class . estimate.vpin-class . factorizations . generatedata_adjpin . generatedata_mpin . get_posteriors . hfdata . initials_adjpin . initials_adjpin_cl . initials_adjpin_rnd . initials_mpin . initials_pin_ea . initials_pin_gwj . initials_pin_yz . mpin_ecm . mpin_ml . pin . pin_bayes . pin_ea . pin_gwj . pin_yz . set_display_digits . vpin .
Some associated R codes: PINstimation.R . args_defaultvalues.R . args_validation.R . data_aggregation.R . data_simulation.R . datasets.R . model_adjpin.R . model_factorizations.R . model_mpin.R . model_mpin.ecm.R . model_mpin.layers.R . model_pin.R . model_vpin.R . output_classes.R . utilities_functions.R . utilities_messages.R . zzz.R . Full PINstimation package functions and examples
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