PINstimation: An R Package for Estimating Probability of Informed Trading Models

Abstract

The purpose of this paper is to introduce the R package [PINstimation](https://CRAN.R-project.org/package=PINstimation). The package is designed for fast and accurate estimation of the probability of informed trading models through the implementation of well-established estimation methods. The models covered are the original PIN model [@easley1992time; @easley1996liquidity], the multilayer PIN model [@ersan2016multilayer], the adjusted PIN model [@duarte2009why], and the volume- synchronized PIN [@Easley2011microstructure; @Easley2012Flow]. These core functionalities of the package are supplemented with utilities for data simulation, aggregation and classification tools. In addition to a detailed overview of the package functions, we provide a brief theoretical review of the main methods implemented in the package. Further, we provide examples of use of the package on trade-level data for 58 Swedish stocks, and report straightforward, comparative and intriguing findings on informed trading. These examples aim to highlight the capabilities of the package in tackling relevant research questions and illustrate the wide usage possibilities of PINstimation for both academics and practitioners.