Get started
Overview
This vignette describes how to install the package ‘PINstimation’, either in its stable version on CRAN, or in its development version on Github. It also provides several usage examples on how to use the different functionalities of the package.
Installation
The easiest way to get PINstimation is the following:
install.packages("PINstimation")To get a bug fix or to use a feature from the development version, you can install the development version of PINstimation from GitHub.
# install.packages("devtools")
# library(devtools)
devtools::install_github("monty-se/PINstimation", build_vignettes = TRUE)Loading the package
library(PINstimation)
library(dplyr)
library(tidyr)Note to frequent users
If you are a frequent user of PINstimation, you might want to avoid
repetitively loading the package PINstimation whenever you open a new R
session. You can do that by adding PINstimation to
.R profile either manually, or using the function
load_pinstimation_for_good().
To automatically load PINstimation, run
load_pinstimation_for_good(), and the following code will
be added to your .R profile.
if (interactive()) suppressMessages(require(PINstimation))After restart of the R session, PINstimation will be loaded
automatically, whenever a new R session is started. To remove the
automatic loading of PINstimation, just open the .R profile for editing
usethis::edit_r_profile(), find the code above, and delete
it.
Usage examples
Below, you find five usage examples for the main functions in the package.
Example 1: [PIN] Use daily trade data to estimate the standard probability of informed trading.
Example 2: [MPIN] Use daily trade data to estimate the number of layers in the data, as well as the multi-layer probability of informed trading.
Example 3: [AdjPIN] Use daily trade data to estimate the adjusted probability of informed trading.
Example 4: [VPIN] Use high-frequency data to estimate the volume-adjusted probability of informed trading.
Example 5: Classify high frequency trades into daily trading data, and use it to estimate the adjusted probability of informed trading using the Maximum-likelihood method, and the Expectation-Maximization algorithm.
Example 1: Estimate the PIN model
We estimate the PIN model on preloaded dataset
dailytrades using the initial parameter sets of Ersan &
Alici (2016).
estimate <- pin_ea(dailytrades)## [+] PIN Estimation started
## |[1] Likelihood function factorization: Ersan (2016)
## |[2] Loading initial parameter sets : 5 EA initial set(s) loaded
## |[3] Estimating PIN model (1996) : Using Maximum Likelihood Estimation
## |+++++++++++++++++++++++++++++++++++++| 100% of PIN estimation completed
## [+] PIN Estimation completedshow(estimate)## ----------------------------------
## PIN estimation completed successfully
## ----------------------------------
## Estimation method : Maximum likelihood estimation
## Initial parameter sets : Ersan and Alici (2016)
## Likelihood factorization: Ersan (2016)
## ----------------------------------
## 5 initial set(s) are used in the estimation
## Type object@initialsets to see the initial parameter sets used
##
## [0;37;41m PIN model [0m
##
## ========== ===========
## Variables Estimates
## ========== ===========
## alpha 0.749997
## delta 0.133334
## mu 1193.52
## eps.b 357.27
## eps.s 328.63
## ----
## Likelihood (3226.469)
## PIN 0.566172
## ========== ===========
##
## -------
## Running time: 0.736 secondsExample 2: Estimate the Multilayer PIN model
We run the estimation of the MPIN model on preloaded dataset
dailytrades using:
- the maximum-likelihood method.
ml_estimate <- mpin_ml(dailytrades)## [+] MPIN estimation started
## |[1] Detecting layers from data : using Ersan and Ghachem (2022a)
## |[=] Number of layers in the data : 3 information layer(s) detected
## |[2] Computing initial parameter sets : using algorithm of Ersan (2016)
## |[3] Estimating the MPIN model : Maximum-likelihood standard estimation
## |+++++++++++++++++++++++++++++++++++++| 100% of mpin estimation completed
## [+] MPIN estimation completed- the ECM algorithm. Note: For efficiency purposes, we cap the number of initial parameter sets to 20 for all layers. The default is 100 initial parameter sets.
ecm_estimate <- mpin_ecm(dailytrades, hyperparams = list(maxinit = 20))## [+] MPIN estimation started
## |[1] Computing the range of layers : information layers from 1 to 8
## |[2] Computing initial parameter sets : using algorithm of Ersan (2016)
## |[=] Selecting initial parameter sets : max 20 initial sets per estimation
## |[3] Estimating the MPIN model : Expectation-Conditional Maximization algorithm
## |+++++++++++++++++++++++++++++++++++++| 100% of estimation completed [8 layer(s)]
## |[3] Selecting the optimal model : using lowest Information Criterion (BIC)
## [+] MPIN estimation completedCompare the aggregate parameters obtained from the ML, and ECM estimations.
mpin_comparison <- rbind(ml_estimate@aggregates, ecm_estimate@aggregates)
rownames(mpin_comparison) <- c("ML", "ECM")## Probabilities of ML, and ECM estimations of the MPIN model## alpha delta mu eps.b eps.s
## ML 0.750004 0.1333320 1210.984 336.9118 335.8871
## ECM 0.750000 0.1333333 1210.954 336.9193 335.8877Display the summary of the model estimates for all number of layers.
summary <- getSummary(ecm_estimate)## layers em.layers MPIN Likelihood AIC BIC AWE
## Model[1] 1 1 0.566 -3226.469 6462.9 6473.4 6508.9
## Model[2] 2 2 0.577 -800.379 1616.8 1633.5 1690.3
## Model[3] 3 3 0.574 -643.458 1308.9 1332.0 1410.0
## Model[4] 4 3 0.574 -643.458 1308.9 1332.0 1410.0
## Model[5] 5 3 0.574 -643.458 1308.9 1332.0 1410.0
## Model[6] 6 3 0.574 -643.458 1308.9 1332.0 1410.0
## Model[7] 7 4 0.575 -642.631 1313.3 1342.6 1441.9
## Model[8] 8 4 0.575 -642.631 1313.3 1342.6 1441.9Example 3: Estimate the Adjusted PIN model
We estimate the adjusted PIN model on preloaded dataset
dailytrades using 20 initial parameter sets
computed by the algorithm of Ersan and Ghachem (2022b).
estimate_adjpin <- adjpin(dailytrades, initialsets = "GE")## [+] AdjPIN estimation started
## |[1] Computing initial parameter sets : 20 GE initial sets generated
## |[2] Estimating the AdjPIN model : Expectation-Conditional Maximization algorithm
## |+++++++++++++++++++++++++++++++++++++| 100% of AdjPIN estimation completed
## [+] AdjPIN estimation completedshow(estimate_adjpin)## ----------------------------------
## AdjPIN estimation completed successfully
## ----------------------------------
## Likelihood factorization: Ersan and Ghachem (2022b)
## Estimation Algorithm : Expectation-Conditional Maximization
## Initial parameter sets : Ersan and Ghachem (2022b)
## Model Restrictions : Unrestricted model
## ----------------------------------
## 20 initial set(s) are used in the estimation
## Type object@initialsets to see the initial parameter sets used
##
## [0;37;45m AdjPIN model [0m
##
## =========== ==============
## Variables Estimates
## =========== ==============
## alpha 0.58334
## delta 0.171427
## theta 0.400005
## theta' 0.799997
## ----
## eps.b 337.19
## eps.s 336.01
## mu.b 913.12
## mu.s 871.16
## d.b 598.82
## d.s 0.25
## ----
## Likelihood (899.286)
## adjPIN 0.334244
## PSOS 0.23997
## =========== ==============
##
## -------
## Running time: 5.602 secondsExample 4: Estimate the Volume-adjusted PIN model
We run a VPIN estimation on preloaded dataset hfdata of
100 000 observations with timebarsize of 5
minutes (300 seconds).
estimate.vpin <- vpin(hfdata, timebarsize = 300)## [+] VPIN Estimation started.
## |-[1] Checking and preparing the data...
## |-[2] Creating 300-second timebars...[~1 seconds]
## |-[3] Calculating Volume Bucket Size (VBS) and Sigma(DP)...
## |-[4] Breaking up large 300-second timebars' volume...
## |-[5] Assigning 300-second timebars into buckets...
## |-[6] Balancing timebars and adjusting bucket sizes to VBS...
## |-[7] Calculating aggregate bucket data...
## |-[8] Calculating VPIN vector...
## [+] VPIN estimation completedshow(estimate.vpin)## ----------------------------------
## VPIN estimation completed successfully
## ----------------------------------
## Type object@vpin to access the VPIN vector.
## Type object@bucketdata to access data used to construct the VPIN vector.
## Type object@dailyvpin to access the daily VPIN vectors.
##
## [0;37;46m VPIN model [0m
##
## Table: [+] VPIN descriptive statistics
##
## Min. 1st Qu. Median Mean 3rd Qu. Max. NA's
## ------- --------- -------- ------- --------- ------- ------
## 0.129 0.208 0.252 0.269 0.319 0.643 49
##
##
## Table: [+] VPIN parameters
##
## tbSize buckets samplength VBS ndays
## -------- --------- ------------ ---------- -------
## 300 50 50 4058.956 69
##
## -------
## Running time: 2.311 secondsPlot the unweighted daily vpin stored at the variable
dvpin in the dataframe dailyvpin stored at the
slot @dailyvpin of the object
estimate.vpin.
plot(estimate.vpin@dailyvpin$dvpin ~seq_len(nrow(estimate.vpin@dailyvpin)),
lwd=1 , type="l" , bty="n" , xlab="day" , ylab="daily vpin",
col=rgb(0.2,0.4,0.6,0.8) )
We run a IVPIN estimation on a subset of the preloaded dataset
hfdata of 100 000 observations with
timebarsize of 5 minutes (300
seconds).
estimate.ivpin <- ivpin(hfdata[1:10000,], timebarsize = 300)## [+] IVPIN Estimation started.
## |-[1] Checking and preparing the data...
## |-[2] Creating 300-second timebars...[~1 seconds]
## |-[3] Calculating Volume Bucket Size (VBS) and Sigma(DP)...
## |-[4] Breaking up large 300-second timebars' volume...
## |-[5] Assigning 300-second timebars into buckets...
## |-[6] Balancing timebars and adjusting bucket sizes to VBS...
## |-[7] Calculating aggregate bucket data...
## |-[8] Finding ML estimates for the ivpin model parameters...
## |+++++++++++++++++++++++++++++++++++++| 100% of buckets treated
## |-[9] Calculating IVPIN vector...
## [+] IVPIN estimation completedExample 5: Estimate the AdjPIN model using aggregated high-frequency data
We use the preloaded high-frequency dataset hfdata,
prepare it for aggregation by deleting the variable
volume.
data <- hfdata
data$volume <- NULLWe classify data using the LR algorithm with a time lag of
500000 microseconds (0.5 s), using the
function aggregate_trades().
daytrades <- aggregate_trades(data, algorithm = "LR", timelag = 500000)## [+] Trade classification started
## |[=] Classification algorithm : LR algorithm
## |[=] Number of trades in dataset : 100 000 trades
## |[=] Time lag of lagged variables : 5e+05 microseconds
## |[1] Computing lagged variables : using parallel processing
## |+++++++++++++++++++++++++++++++++++++| 100% of variables computed
## |[=] Computed lagged variables : in 5.432 seconds
## |[2] Computing aggregated trades : using lagged variables
## [+] Trade classification completed We use the obtained dataset to estimate the (adjusted) probability of informed trading via the two available estimated methods, i.e, the standard Maximum-likelihood method, and the Expectation-Maximization algorithm.
adjpin_ml <- adjpin(daytrades, method = "ML", initialsets = "GE")## [+] AdjPIN estimation started
## |[1] Computing initial parameter sets : 20 GE initial sets generated
## |[2] Estimating the AdjPIN model : Maximum-likelihood Standard Estimation
## |+++++++++++++++++++++++++++++++++++++| 100% of AdjPIN estimation completed
## [+] AdjPIN estimation completedadjpin_ecm <- adjpin(daytrades, method = "ECM", initialsets = "GE")## [+] AdjPIN estimation started
## |[1] Computing initial parameter sets : 20 GE initial sets generated
## |[2] Estimating the AdjPIN model : Expectation-Conditional Maximization algorithm
## |+++++++++++++++++++++++++++++++++++++| 100% of AdjPIN estimation completed
## [+] AdjPIN estimation completedCompare the estimated parameters obtained from the ML, and ECM parameters.
adj.prob <- rbind(adjpin_ml@parameters[1:4], adjpin_ecm@parameters[1:4])
rownames(adj.prob) <- c("ML", "ECM")## Probability terms in ML and ECM estimations of the AdjPIN model## alpha delta theta thetap
## ML 0.6768699 0.3001406 0.1927641 2.326771e-07
## ECM 0.6773600 0.2995453 0.1914768 0.000000e+00adj.params <- rbind(adjpin_ml@parameters[5:10], adjpin_ecm@parameters[5:10])
rownames(adj.params) <- c("ML", "ECM")## Rate parameters of ML and ECM estimations of the AdjPIN model## eps.b eps.s mu.b mu.s d.b d.s
## ML 535.4246 558.7962 496.9941 471.124 355.8851 27.36893
## ECM 535.3750 558.8180 497.0720 471.039 355.4770 27.45400Getting help
If you encounter a clear bug, please file an issue with a minimal reproducible example on GitHub.