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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: | 1.2 |
| Imports: | nloptr |
| Published: | 2017-08-21 |
| 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 |
| Reference manual: | InfoTrad.pdf |
| Package source: | InfoTrad_1.2.tar.gz |
| Windows binaries: | r-devel: InfoTrad_1.2.zip, r-release: InfoTrad_1.2.zip, r-oldrel: InfoTrad_1.2.zip |
| macOS binaries: | r-release (arm64): InfoTrad_1.2.tgz, r-oldrel (arm64): InfoTrad_1.2.tgz, r-release (x86_64): InfoTrad_1.2.tgz, r-oldrel (x86_64): InfoTrad_1.2.tgz |
| Old sources: | InfoTrad archive |
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