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 |