PINstimation: An R Package for Estimating Probability of Informed Trading Models

IF 2.3 4区计算机科学 Q3 COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS

R Journal Pub Date : 2023-11-01 DOI:10.32614/rj-2023-044

Montasser Ghachem, Oguz Ersan

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引用次数: 0

Abstract

The purpose of this paper is to introduce the R package [PINstimation](https://CRAN.R-project.org/package=PINstimation). The package is designed for fast and accurate estimation of the probability of informed trading models through the implementation of well-established estimation methods. The models covered are the original PIN model [@easley1992time; @easley1996liquidity], the multilayer PIN model [@ersan2016multilayer], the adjusted PIN model [@duarte2009why], and the volume- synchronized PIN [@Easley2011microstructure; @Easley2012Flow]. These core functionalities of the package are supplemented with utilities for data simulation, aggregation and classification tools. In addition to a detailed overview of the package functions, we provide a brief theoretical review of the main methods implemented in the package. Further, we provide examples of use of the package on trade-level data for 58 Swedish stocks, and report straightforward, comparative and intriguing findings on informed trading. These examples aim to highlight the capabilities of the package in tackling relevant research questions and illustrate the wide usage possibilities of PINstimation for both academics and practitioners.

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估算:一个估算知情交易模型概率的R包

本文的目的是介绍R包[pinestimate](https://CRAN.R-project.org/package=PINstimation)。该软件包旨在通过实施完善的估计方法，快速准确地估计知情交易模型的概率。所涵盖的模型是原始PIN模型[@easley1992time;@easley1996liquidity]，多层PIN模型[@ersan2016multilayer]，调整后的PIN模型[@duarte2009why]，以及量同步PIN [@ easley2011微结构;@Easley2012Flow]。包的这些核心功能还补充了用于数据模拟、聚合和分类工具的实用程序。除了对包功能的详细概述外，我们还对包中实现的主要方法进行了简要的理论回顾。此外，我们提供了58只瑞典股票的贸易级数据包的使用示例，并报告了关于知情交易的简单，比较和有趣的发现。这些例子旨在突出该软件包在解决相关研究问题方面的能力，并说明pinestimation在学术界和实践者中的广泛使用可能性。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

R Journal COMPUTER SCIENCE, INTERDISCIPLINARY APPLICATIONS-STATISTICS & PROBABILITY

CiteScore

2.70

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： The R Journal is the open access, refereed journal of the R project for statistical computing. It features short to medium length articles covering topics that should be of interest to users or developers of R. The R Journal intends to reach a wide audience and have a thorough review process. Papers are expected to be reasonably short, clearly written, not too technical, and of course focused on R. Authors of refereed articles should take care to: - put their contribution in context, in particular discuss related R functions or packages; - explain the motivation for their contribution; - provide code examples that are reproducible.