PIN: Measuring Asymmetric Information in Financial Markets with R

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.

Paolo Zagaglia
2013-06-04

CRAN packages used

PIN, highfrequency, IBrokers, orderbook

CRAN Task Views implied by cited packages

Finance

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Citation

For attribution, please cite this work as

Zagaglia, "PIN: Measuring Asymmetric Information in Financial Markets with R", The R Journal, 2013

BibTeX citation

@article{RJ-2013-008,
  author = {Zagaglia, Paolo},
  title = {PIN: Measuring Asymmetric Information in Financial Markets with R},
  journal = {The R Journal},
  year = {2013},
  note = {https://doi.org/10.32614/RJ-2013-008},
  doi = {10.32614/RJ-2013-008},
  volume = {5},
  issue = {1},
  issn = {2073-4859},
  pages = {80-86}
}