pinbasic (version 0.2.0)

pin_calc: Probability of Informed Trading

Description

Calculates the probability of informed trading.

Usage

pin_calc(param = NULL)

Arguments

param

numeric: (named) vector of model parameters (valid names: 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu'), length must equal 5

Value

numeric: probability of informed trading

Details

If names are not set for param or one or more of the vector names do not match the valid choices, they are internally set to 'alpha', 'delta', 'epsilon_b', 'epsilon_s', 'mu' (in this order).

References

Easley, David et al. (2002) Is Information Risk a Determinant of Asset Returns? The Journal of Finance, Volume 57, Number 5, pp. 2185 - 2221 \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("#1")}10.1111/1540-6261.00493http://doi.org/10.1111/1540-6261.00493doi:\ifelse{latex}{\out{~}}{ }latex~ 10.1111/1540-6261.00493

Easley, David et al. (1996) Liquidity, Information, and Infrequently Traded Stocks The Journal of Finance, Volume 51, Number 4, pp. 1405 - 1436 \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("#1")}10.1111/j.1540-6261.1996.tb04074.xhttp://doi.org/10.1111/j.1540-6261.1996.tb04074.xdoi:\ifelse{latex}{\out{~}}{ }latex~ 10.1111/j.1540-6261.1996.tb04074.x