PIN: Measuring Asymmetric Information in Financial Markets with R

被引：0
|
作者：
Zagaglia, Paolo [1 ,2 ,3 ,4 ]
机构：
[1] Int Entrepreneurship Acad, Dublin, Ireland
[2] Univ Bologna, Rimini Ctr Econ Anal, Bologna, Italy
[3] Univ Bologna, Dept Econ, Bologna, Italy
[4] Univ Bologna, Dept Cultural Goods, Bologna, Italy
来源：
R JOURNAL | 2013年 / 5卷 / 01期
关键词：
LIQUIDITY; PRICES;
D O I：
暂无
中图分类号：
TP39 [计算机的应用];
学科分类号：
081203 ; 0835 ;
摘要：
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 buy- and 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.
引用
收藏
页码：80 / 86
页数：7
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