Changelog
Source:NEWS.md
PINstimation 0.1.3.9000 (28.07.2024)
New Features

adjpin()
: The function now includes the time spent on generating initial parameter sets in the total time displayed in the output. This enhancement provides a more comprehensive view of the time taken for the entire process.
Updates

initials_adjpin_rnd()
: Updated the implementation for generating random initial parameter sets to align with the algorithm described in Ersan and Ghachem (2024). 
initials_adjpin()
: Aligned the function, which generates initial parameter sets for the adjusted PIN model, with the algorithm outlined in Ersan and Ghachem (2024). 
solve_eqx
: Enhanced the format and performance of polynomial root calculations within the conditionalmaximization steps of the ECM algorithm.
Bugfixes

initials_adjpin_cl()
: Fixed an issue with the calculation of the likelihood value according to the algorithm of Cheng and Lai (2021). 
detectlayers_eg()
: Corrected the return value to a single number when the number of information days is equal to 1. Previously, it incorrectly returned a vector. 
mpin_ecm()
: Rectified an issue where observations with zero probability in the Estep of the ECM algorithm were assigned a fixed number of clusters (6
). Now, the function assigns a uniform probability of1/cls
, wherecls
is the total number of clusters, to each cluster.
Dependency Management

Future Package: Addressed two concerns related to the
future
package. The updated code now uses lexical scoping with thelocal()
function to manage the variable.lwbound
between parallel function calls, preventing unexpected results. Additionally, the maximum size of futures is no longer set to+Inf
upon package loading, leaving this option adjustable by the user.
PINstimation 0.1.2
CRAN release: 20230320
New Features
We introduce a new function called
classify_trades()
that enables users to classify highfrequency (HF) trades individually, without aggregating them.
For each HF trade, the function assigns a variable that is set toTRUE
if the trade is buyerinitiated, orFALSE
if it is sellerinitiated.The
aggregate_trades()
function enables users to aggregate highfrequency (HF) trades at different frequencies. In the previous version, HF trades were automatically aggregated into daily trade data. However, with the updated version, users can now specify the desired frequency, such as every 15 minutes.
Bugfixes
We identified and corrected an error in the
mpin_ecm()
function. Previously, the function would sometimes produce inconsistent results as the posterior distribution allowed for the existence of information layers with a probability of zero. We have now fixed this issue and the function produces correct results.We have made some updates to the
mpin_ml()
function to better handle cases where the MPIN estimation fails for all initial parameter sets. Specifically, we have fixed an error in the display of the estimation results when such failure occurs. With these updates, the function should now be able to handle such failures more robustly and provide appropriate feedback.We have simplified the ECM estimation functions, with a particular focus on the adjpin() function. We have improved the convergence condition of the iterative process used in the ECM estimation. Moreover, we rounded the values of the parameters at each iteration to a relevant number of decimals. This shall result in a faster convergence and prevent issues with decreasing likelihood values.
PINstimation 0.1.1
CRAN release: 20221018
New Features
The functions
pin()
,pin_*()
,mpin_ml()
,mpin_ecm()
,adjpin()
,vpin()
, andaggregate_trades()
accept now, for their argumentsdata
, datasets of typematrix
. In the previous version, it only accepted dataframes, which did not allow users, for instance, to userollapply()
of the packagezoo
.Introduction of the function
pin_bayes()
that estimates the original pin model using a bayesian approach as described in Griffin et al.(2021).
Bugfixes
Fixed an error in the function
initials_pin_ea()
as it used to produce some parameter sets with negative values for trade intensity rates. The negative trade intensity rates are set to zero.Fixed two errors in the function
vpin()
: (1) A bug in the calculation steps of vpin (2) The argumentverbose
does not work properly.Fixed an issue with resetting the plan for the future (
future::plan
) used for parallel processing.