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PINstimation (version 0.1.2)

pin: PIN estimation - custom initial parameter sets

Description

Estimates the Probability of Informed Trading (PIN) using custom initial parameter sets

Usage

pin(data, initialsets, factorization = "E", verbose = TRUE)

Value

Returns an object of class estimate.pin

Arguments

data

A dataframe with 2 variables: the first corresponds to buyer-initiated trades (buys), and the second corresponds to seller-initiated trades (sells).

initialsets

A dataframe with the following variables in this order (\(\alpha\), \(\delta\), \(\mu\), \(\epsilon\)b, \(\epsilon\)s).

factorization

A character string from {"EHO", "LK", "E", "NONE"} referring to a given factorization. The default value is set to "E".

verbose

A binary variable that determines whether detailed information about the steps of the estimation of the PIN model is displayed. No output is produced when verbose is set to FALSE. The default value is TRUE.

Details

The argument 'data' should be a numeric dataframe, and contain at least two variables. Only the first two variables will be considered: The first variable is assumed to correspond to the total number of buyer-initiated trades, while the second variable is assumed to correspond to the total number of seller-initiated trades. Each row or observation correspond to a trading day. NA values will be ignored.

The factorization variable takes one of four values:

  • "EHO" refers to the factorization in Easley2010;textualPINstimation

  • "LK" refers to the factorization in WilliamLin2011;textualPINstimation

  • "E" refers to the factorization in Ersan2016;textualPINstimation

  • "NONE" refers to the original likelihood function - with no factorization

References

Examples

Run this code
# There is a preloaded quarterly dataset called 'dailytrades' with 60
# observations. Each observation corresponds to a day and contains the
# total number of buyer-initiated trades ('B') and seller-initiated
# trades ('S') on that day. To know more, type ?dailytrades

xdata <- dailytrades

#--------------------------------------------------------------
# Using generic function pin()
#--------------------------------------------------------------

# Define initial parameters:
# initialset = (alpha, delta, mu, eps.b, eps.s)

initialset <- c(0.3, 0.1, 800, 300, 200)

# Estimate the PIN model using the factorization of the PIN likelihood
# function by Ersan (2016)

estimate <- pin(xdata, initialsets = initialset, verbose = FALSE)

# Display the estimated PIN value

show(estimate@pin)

# Display the estimated parameters

show(estimate@parameters)

# Store the initial parameter sets used for MLE in a dataframe variable,
# and display its first five rows

initialsets <- estimate@initialsets
show(head(initialsets, 5))

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