pin_ll: Likelihood factorizations

Description

Evaluates likelihood function either utilizing factorization by Easley et. al (2010) or Lin and Ke (2011).

Usage

pin_ll(param = NULL, numbuys = NULL, numsells = NULL, factorization = c("Lin_Ke", "EHO"))

Arguments

param

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

numbuys

numeric vector of daily buys

numsells

numeric vector of daily sells

factorization

character: switch between EHO ('EHO') and Lin-Ke ('Lin_Ke') factorization

Value

numeric: likelihood function value

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). Vectors for numbuys and numsells need to have same length.

References

Easley, David et al. (2010) Factoring Information into Returns Journal of Financial and Quantitative Analysis, Volume 45, Issue 2, pp. 293 - 309 \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("#1")}10.1017/S0022109010000074http://doi.org/10.1017/S0022109010000074doi:\ifelse{latex}{\out{~}}{ }latex~ 10.1017/S0022109010000074

Lin, Hsiou-Wei William and Ke, Wen-Chyan (2011) A computing bias in estimating the probability of informed trading Journal of Financial Markets, Volume 14, Issue 4, pp. 625 - 640 \Sexpr[results=rd,stage=build]{tools:::Rd_expr_doi("#1")}10.1016/j.finmar.2011.03.001http://doi.org/10.1016/j.finmar.2011.03.001doi:\ifelse{latex}{\out{~}}{ }latex~ 10.1016/j.finmar.2011.03.001