Package: pinbasic
Title: Fast and Stable Estimation of the Probability of Informed
        Trading (PIN)
Type: Package
Version: 1.2.2
Authors@R: person("Andreas", "Recktenwald", email = "arecktenwald85@gmail.com",
    role = c("aut", "cre"))
Description: Utilities for fast and stable estimation of the probability of 
 informed trading (PIN) in the model introduced by Easley et al. (2002) 
 <DOI:10.1111/1540-6261.00493> are implemented. Since the basic model developed 
 by Easley et al. (1996) <DOI:10.1111/j.1540-6261.1996.tb04074.x> is nested in the 
 former due to equating the intensity of uninformed buys and sells, functions 
 can also be applied to this simpler model structure, if needed. 
 State-of-the-art factorization of the model likelihood function as well as 
 most recent algorithms for generating initial values for optimization routines are implemented. 
 In total, two likelihood factorizations and three methodologies for 
 starting values are included. 
 Furthermore, functions for simulating datasets of daily aggregated buys and sells, 
 calculating confidence intervals for the probability of informed trading and posterior probabilities 
 of trading days' conditions are available. 
Depends: R (>= 3.1)
Imports: stats, fastcluster, lubridate, ggplot2, reshape2, scales,
        parallel, Rcpp (>= 0.12.9),
LinkingTo: Rcpp
NeedsCompilation: yes
License: GPL-3 | file LICENSE
LazyData: true
RoxygenNote: 6.1.0
Suggests: knitr, rmarkdown, formatR, utils
URL: https://github.com/anre005/pinbasic/
BugReports: https://github.com/anre005/pinbasic/issues
VignetteBuilder: knitr
Packaged: 2018-11-18 09:57:04 UTC; andi
Author: Andreas Recktenwald [aut, cre]
Maintainer: Andreas Recktenwald <arecktenwald85@gmail.com>
Repository: CRAN
Date/Publication: 2018-11-18 10:10:03 UTC
Built: R 3.6.3; x86_64-w64-mingw32; 2021-05-12 22:14:15 UTC; windows
Archs: i386, x64
