Pinstimation: an R Package for Estimating Probability of Informed Trading Models

dc.authorid Ghachem, Montassar/0000-0001-6991-3316
dc.authorwosid Ersan, Oguz/J-9287-2017
dc.contributor.author Ghachem, Montasser
dc.contributor.author Ersan, Oğuz
dc.contributor.author Ersan, Oguz
dc.contributor.other International Trade and Finance
dc.date.accessioned 2024-10-15T19:38:53Z
dc.date.available 2024-10-15T19:38:53Z
dc.date.issued 2023
dc.department Kadir Has University en_US
dc.department-temp [Ghachem, Montasser] Stockholm Univ, Dept Educ, S-106 91 Stockholm, Sweden; [Ersan, Oguz] Kadir Has Univ, Int Trade & Finance Dept, TR-34083 Istanbul, Turkiye en_US
dc.description Ghachem, Montassar/0000-0001-6991-3316 en_US
dc.description.abstract The purpose of this paper is to introduce the R 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 (Easley and O'Hara 1992; Easley et al. 1996), the multilayer PIN model (Ersan 2016), the adjusted PIN model (Duarte and Young 2009), and the volume-synchronized PIN (Easley, De Prado, and O'Hara 2011; Easley, Lopez De Prado, and O'Hara 2012). 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. en_US
dc.description.woscitationindex Science Citation Index Expanded
dc.identifier.citationcount 0
dc.identifier.endpage 168 en_US
dc.identifier.issn 2073-4859
dc.identifier.issue 2 en_US
dc.identifier.scopusquality Q2
dc.identifier.startpage 145 en_US
dc.identifier.uri https://hdl.handle.net/20.500.12469/6290
dc.identifier.volume 15 en_US
dc.identifier.wos WOS:001109160100007
dc.identifier.wosquality Q1
dc.language.iso en en_US
dc.publisher R Foundation Statistical Computing en_US
dc.relation.publicationcategory Makale - Uluslararası Hakemli Dergi - Kurum Öğretim Elemanı en_US
dc.rights info:eu-repo/semantics/closedAccess en_US
dc.subject [No Keyword Available] en_US
dc.title Pinstimation: an R Package for Estimating Probability of Informed Trading Models en_US
dc.type Article en_US
dc.wos.citedbyCount 1
dspace.entity.type Publication
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