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.
PIN, highfrequency, IBrokers, orderbook
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For attribution, please cite this work as
Zagaglia, "The R Journal: PIN: Measuring Asymmetric Information in Financial Markets with R", The R Journal, 2013
BibTeX citation
@article{RJ-2013-008,
author = {Zagaglia, Paolo},
title = {The R Journal: 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}
}