Estimation of the Probability of Informed Trading

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Documentation for package ‘PINstimation’ version 0.1.2

• DESCRIPTION file.
• User guides, package vignettes and other documentation.
• Package NEWS.

Help Pages

PINstimation-package	An R package for estimating the probability of informed trading
adjpin	Estimation of adjusted PIN model
aggregate_trades	Classification and aggregation of high-frequency data
classify_trades	Classification and aggregation of high-frequency data
dailytrades	Example of quarterly data
data.series-class	List of dataset objects
dataset-class	Simulated data object
detecting-layers	Layer detection in trade-data
detectlayers_e	Layer detection in trade-data
detectlayers_ecm	Layer detection in trade-data
detectlayers_eg	Layer detection in trade-data
estimate.adjpin-class	AdjPIN estimation results
estimate.mpin-class	MPIN estimation results
estimate.mpin.ecm-class	MPIN estimation results (ECM)
estimate.pin-class	PIN estimation results
estimate.vpin-class	VPIN estimation results
factorizations	Factorizations of the different PIN likelihood functions
fact_adjpin	Factorizations of the different PIN likelihood functions
fact_mpin	Factorizations of the different PIN likelihood functions
fact_pin_e	Factorizations of the different PIN likelihood functions
fact_pin_eho	Factorizations of the different PIN likelihood functions
fact_pin_lk	Factorizations of the different PIN likelihood functions
generatedata_adjpin	Simulation of AdjPIN model data.
generatedata_mpin	Simulation of MPIN model data
getSummary	MPIN estimation results (ECM)
getSummary-method	MPIN estimation results (ECM)
get_posteriors	Posterior probabilities for PIN and MPIN estimates
hfdata	High-frequency trade-data
initials_adjpin	AdjPIN initial parameter sets of Ersan & Ghachem (2022b)
initials_adjpin_cl	AdjPIN initial parameter sets of Cheng and Lai (2021)
initials_adjpin_rnd	AdjPIN random initial sets
initials_mpin	MPIN initial parameter sets of Ersan (2016)
initials_pin_ea	Initial parameter sets of Ersan & Alici (2016)
initials_pin_gwj	Initial parameter set of Gan et al.(2015)
initials_pin_yz	Initial parameter sets of Yan and Zhang (2012)
mpin_ecm	MPIN model estimation via an ECM algorithm
mpin_ml	MPIN model estimation via standard ML methods
pin	PIN estimation - custom initial parameter sets
pin_bayes	PIN estimation - Bayesian approach
pin_ea	PIN estimation - initial parameter sets of Ersan & Alici (2016)
pin_gwj	PIN estimation - initial parameter set of Gan et al. (2015)
pin_yz	PIN estimation - initial parameter sets of Yan & Zhang (2012)
selectModel	MPIN estimation results (ECM)
selectModel-method	MPIN estimation results (ECM)
set_display_digits	Package-wide number of digits
show-method	List of dataset objects
show-method	Simulated data object
show-method	AdjPIN estimation results
show-method	MPIN estimation results
show-method	MPIN estimation results (ECM)
show-method	PIN estimation results
show-method	VPIN estimation results
trade_classification	Classification and aggregation of high-frequency data
vpin	Estimation of Volume-Synchronized PIN model