Struct PinEstimate 

pub struct PinEstimate {
    pub alpha: f64,
    pub mu: f64,
    pub epsilon_b: f64,
    pub epsilon_s: f64,
}

Easley et al. (1996) PIN model parameters estimated via method-of-moments.

Parameters:

• alpha: probability of an information event (0 to 1).
• mu: arrival rate of informed traders given an event.
• epsilon_b: uninformed buy-order arrival rate.
• epsilon_s: uninformed sell-order arrival rate.

Example

use fin_primitives::microstructure::PinEstimate;

let buys = vec![80u64, 90, 85];
let sells = vec![20u64, 10, 15];
let pin = PinEstimate::from_trade_counts(&buys, &sells);
let p = pin.pin_probability();
assert!((0.0..=1.0).contains(&p));

Fields

alpha: f64

Probability of an information event occurring.

mu: f64

Informed trader arrival rate conditional on an event.

epsilon_b: f64

Uninformed buy-order arrival rate.

epsilon_s: f64

Uninformed sell-order arrival rate.

Implementations

impl PinEstimate

pub fn from_trade_counts(buy_days: &[u64], sell_days: &[u64]) -> Self

Estimate PIN parameters from daily buy/sell trade counts via method-of-moments.

Method-of-moments approximation:

• epsilon_b ≈ mean(min(buys, sells)) (uninformed baseline)
• epsilon_s ≈ mean(min(buys, sells))
• mu ≈ mean(|buys - sells|) (excess flow attributable to informed)
• alpha ≈ fraction of days with buys > sells (event probability)

Returns all-zero parameters when both slices are empty.

pub fn pin_probability(&self) -> f64

Compute the PIN probability.

PIN = alpha * mu / (alpha * mu + epsilon_b + epsilon_s)

Returns 0.0 when the denominator is zero.

Trait Implementations

impl Clone for PinEstimate

fn clone(&self) -> Self

Returns a duplicate of the value.

fn clone_from(&mut self, source: &Self)

Performs copy-assignment from source.

impl Copy for PinEstimate

impl Debug for PinEstimate

fn fmt(&self, f: &mut Formatter<'_>) -> Result

Formats the value using the given formatter.