InfoTrad

Estimates the probability of informed trading (PIN) initially introduced by Easley et. al. (1996) doi:10.1111/j.1540-6261.1996.tb04074.x . Contribution of the package is that it uses likelihood factorizations of Easley et. al. (2010) doi:10.1017/S0022109010000074 (EHO factorization) and Lin and Ke (2011) doi:10.1016/j.finmar.2011.03.001 (LK factorization). Moreover, the package uses different estimation algorithms. Specifically, the grid-search algorithm proposed by Yan and Zhang (2012) doi:10.1016/j.jbankfin.2011.08.003 , hierarchical agglomerative clustering approach proposed by Gan et. al. (2015) doi:10.1080/14697688.2015.1023336 and later extended by Ersan and Alici (2016) doi:10.1016/j.intfin.2016.04.001 .