The R Journal: article published in 2013, volume 5:1

PIN: Measuring Asymmetric Information in Financial Markets with R
Paolo Zagaglia , The R Journal (2013) 5:1, pages 80-86.

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 buyand 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.

Received: 2012-04-05; online 2013-06-04
CRAN packages: PIN, highfrequency, IBrokers, orderbook
CRAN Task Views implied by cited CRAN packages: Finance

This article is licensed under a Creative Commons Attribution 3.0 Unported license .

@article{RJ-2013-008,
  author = {Paolo Zagaglia},
  title = {{PIN: Measuring Asymmetric Information in Financial Markets
          with R}},
  year = {2013},
  journal = {{The R Journal}},
  doi = {10.32614/RJ-2013-008},
  url = {https://doi.org/10.32614/RJ-2013-008},
  pages = {80--86},
  volume = {5},
  number = {1}
}