Statistics, Department of
The R Journal
Date of this Version
6-2013
Document Type
Article
Citation
The R Journal (June 2013) 5(1); Editor: Hadley Wickham
Abstract
The package PIN computes a measure of asymmetric information in financial markets, the so-called probability of informed trading. This is obtained from a sequential trade model and is used to study the determinants of an asset price. Since the probability of informed trading depends on the number of buy- and sell-initiated trades during a trading day, this paper discusses the entire modelling cycle, from data handling to the computation of the probability of informed trading and the estimation of parameters for the underlying theoretical model.
Included in
Numerical Analysis and Scientific Computing Commons, Programming Languages and Compilers Commons
Comments
Copyright 2013, The R Foundation. Open access material. License: CC BY 3.0 Unported