BSfrequent


A matrix containing three months of synthetic daily buys and sells data representing a frequently traded stock.


datasets

Utilities for fast and stable estimation of the probability of
informed trading (PIN) in the model introduced by Easley et al. (2002)
<DOI:10.1111/1540-6261.00493> are implemented. Since the basic model developed
by Easley et al. (1996) <DOI:10.1111/j.1540-6261.1996.tb04074.x> is nested in the
former due to equating the intensity of uninformed buys and sells, functionalities
can also be applied to this simpler model structure, if needed.

Andreas Recktenwald

pinbasic

Fast and Stable Estimation of the Probability of Informed
Trading (PIN)

BSfrequent function

A matrix with 60 rows and 2 variables:
<dl> </dl>

BSfrequent: Daily Buys and Sells

Description

Usage

Arguments

Format

Source