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PIN Estimation Dataset v2024.1
Annual probability of informed trading estimates for US equities.
Models
- GPIN (Duarte, Hu, Young 2020): Negative binomial mixture model
- OWR (Odders-White and Ready 2008): Multivariate normal mixture model
Coverage
- Years: 2003-2024
- Stocks: Common stocks on NYSE, AMEX, NASDAQ
- Source: WRDS TAQ Intraday Indicators, CRSP, and Compustat
Data Files
data/gpin_all.csv— GPIN estimates (~60K stock-year obs)data/owr_all.csv— OWR estimates (~60K stock-year obs)
Citation
Duarte, J., Hu, E., and Young, L. (2020). "A Comparison of Some Structural Models of Private Information Arrival." Journal of Financial Economics, 136(3), 723-760. https://doi.org/10.1016/j.jfineco.2019.08.005