BSfrequent2015


A matrix containing one year of synthetic daily buys and sells data representing a frequently traded stock.
Rownames equal the business days in 2015.


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)

BSfrequent2015 function

A matrix with 261 rows and 2 variables:
<dl> </dl>

BSfrequent2015: Daily Buys and Sells

Description

Usage

Arguments

Format

Source