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NEWS.md

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Version 0.1.1

New Features

  • The functions pin(), pin_*(), mpin_ml(), mpin_ecm(), adjpin(), vpin(), and aggregate_trades() accept now, for their arguments data, datasets of type matrix. In the previous version, it only accepted dataframes, which did not allow users, for instance, to use rollapply() of the package zoo.

  • Introduction of the function pin_bayes() that estimates the original pin model using a bayesian approach as described in Griffin et al.(2021).

Bug Fixes

  • 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 argument verbose does not work properly.

  • Fixed an issue with resetting the plan for the future (future::plan) used for parallel processing.

Version 0.1.0

  • Added a NEWS.md file to track changes to the package.