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monty-se
PINstimation monty-se
6
32
gpl-3.0
2
A comprehensive bundle of utilities for the estimation of probability of informed trading models: original PIN in Easley and O'Hara (1992) and Easley et al. (1996); Multilayer PIN (MPIN) in Ersan (201...
clustering-analysis poisson-distribution information-asymmetry market-microstructure mixture-distributions hierarchical-clustering maximum-likelihood-estimation expectation-maximisation-algorithm
Created 2022-05-24
117 commits to master branch, last one 15 days ago