PIN in Easley et al. (1996) and PIN in Easley et al. (2002)

PhuongNguyen — Fri, 04 Jan 2019 23:46:34 GMT

Hello people,

I am concerning about estimating parameters for PIN in Easley et al. (1996) versus PIN in Easley et al. (2002).

In Easley et al. (1996), they introduced the Probability of Informed Trade (PIN) as

And in Easley et al. (2002), they introduced the PIN as

While buy and sell share a same rate epsilon (e) in the first formula, the only difference in the later formula is that they clearly distinguish between buy arrival rate eb and sell arrival rate es. In Easley et al. (2002) they succeeded in estimating eb and es using data of stocks listed on the NYSE in their empirical test.

I have searched around and learned that there are SAS codes for PIN in the first version (same e). However I am just wondering if we have the codes for PIN in the later version.

Thank you for any of your comments. Good day.

Re: PIN in Easley et al. (1996) and PIN in Easley et al. (2002)

mkeintz — Sat, 05 Jan 2019 05:12:52 GMT

There's an example of SAS code for PIN estimation on WRDS: Probability of Informed Trading. It does non-linear optimization using PROC NLP.

topic PIN in Easley et al. (1996) and PIN in Easley et al. (2002) in New SAS User

PIN in Easley et al. (1996) and PIN in Easley et al. (2002)

Re: PIN in Easley et al. (1996) and PIN in Easley et al. (2002)