InfoTrad - Calculates the Probability of Informed Trading (PIN)
Estimates the probability of informed trading (PIN)
initially introduced by Easley et. al. (1996)
<doi:10.1111/j.1540-6261.1996.tb04074.x> . Contribution of the
package is that it uses likelihood factorizations of Easley et.
al. (2010) <doi:10.1017/S0022109010000074> (EHO factorization)
and Lin and Ke (2011) <doi:10.1016/j.finmar.2011.03.001> (LK
factorization). Moreover, the package uses different estimation
algorithms. Specifically, the grid-search algorithm proposed by
Yan and Zhang (2012) <doi:10.1016/j.jbankfin.2011.08.003> ,
hierarchical agglomerative clustering approach proposed by Gan
et. al. (2015) <doi:10.1080/14697688.2015.1023336> and later
extended by Ersan and Alici (2016)
<doi:10.1016/j.intfin.2016.04.001> .