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