InfoTrad: Calculates the Probability of Informed Trading (PIN)

Estimates the probability of informed trading (PIN) initially introduced by Easley et. al. (1996) <doi:10.1111/j.1540-6261.1996.tb04074.x> . Contribution of the package is that it uses likelihood factorizations of Easley et. al. (2010) <doi:10.1017/S0022109010000074> (EHO factorization) and Lin and Ke (2011) <doi:10.1016/j.finmar.2011.03.001> (LK factorization). Moreover, the package uses different estimation algorithms. Specifically, the grid-search algorithm proposed by Yan and Zhang (2012) <doi:10.1016/j.jbankfin.2011.08.003> , hierarchical agglomerative clustering approach proposed by Gan et. al. (2015) <doi:10.1080/14697688.2015.1023336> and later extended by Ersan and Alici (2016) <doi:10.1016/j.intfin.2016.04.001> .

Version: 1.1
Published: 2017-02-11
Author: Duygu Celik and Murat Tinic
Maintainer: Murat Tinic <tinic at bilkent.edu.tr>
License: GPL-3
NeedsCompilation: no
In views: Finance
CRAN checks: InfoTrad results

Downloads:

Reference manual: InfoTrad.pdf
Package source: InfoTrad_1.1.tar.gz
Windows binaries: r-devel: InfoTrad_1.1.zip, r-release: InfoTrad_1.1.zip, r-oldrel: InfoTrad_1.1.zip
OS X El Capitan binaries: r-release: InfoTrad_1.1.tgz
OS X Mavericks binaries: r-oldrel: InfoTrad_1.1.tgz
Old sources: InfoTrad archive

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