Package: InfoTrad
Type: Package
Title: Calculates the Probability of Informed Trading (PIN)
Version: 1.2
Date: 2017-08-21
Author: Duygu Celik and Murat Tinic
Maintainer: Murat Tinic <tinic@bilkent.edu.tr>
Description: 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> .
Imports: nloptr
License: GPL-3
NeedsCompilation: no
Packaged: 2017-08-21 05:51:42 UTC; tinic
Repository: CRAN
Date/Publication: 2017-08-21 05:59:33 UTC
Built: R 4.3.3; ; 2025-01-24 08:42:26 UTC; unix
