A comparison of some structural models of private information arrival

Jefferson Duarte, Edwin Hu, and Lance Young

Paper

Latest version available at SSRN.

Previous Versions

Data

Data is available from the GitHub repository and archived on Zenodo for citability.

The repository contains GPIN and OWR estimates for 2003–2024 (~60,000 stock-year observations per model):

data/gpin_all.csv — GPIN model estimates
data/owr_all.csv — OWR model estimates

Based on WRDS DTAQ Intraday Indicators. CRSP shrcd 10, 11 and exchcd 1, 2, 3, 4.

If you use these estimates in your work, please cite our paper:

Duarte, Jefferson, Edwin Hu, and Lance Young. 2020. “A Comparison of Some Structural Models of Private Information Arrival.” Journal of Financial Economics 135(3): 795–815. doi:10.1016/j.jfineco.2019.08.005

Legacy data (1993–2012)

The original paper data (daily CPIE measures and yearly parameter estimates for PIN, DY, GPIN, and OWR models) is described below for reference.

Daily

cpie_daily.csv sorted by permno and date.

permno	year	date	cpie_pin	cpie_dy	cpie_gpin	cpie_owr	cpie_mech	ret_o	ret_d	y_e	n_buys	n_sells	turn
10057	1993	19930104	0.0050	0.608	0.011	0.85	0	−0.007	−0.014	−0.35	4	7	11
10057	1993	19930105	0.0000	0.003	0.071	0.88	0	0.011	0.012	0.93	2	0	2
10057	1993	19930106	0.0007	0.212	0.014	0.91	0	−0.016	−0.014	−0.38	3	5	8
10057	1993	19930107	0.0257	0.131	0.433	0.82	0	0.001	0.015	0.26	8	4	12
10057	1993	19930108	0.0962	0.946	0.003	0.72	1	0.001	−0.007	−0.57	4	10	14
10057	1993	19930111	0.0011	0.009	0.281	0.69	0	0.007	−0.003	0.41	5	1	6
10057	1993	19930112	0.9448	0.226	0.528	0.97	1	0.016	0.022	0.11	14	12	26
10057	1993	19930113	0.4594	0.973	0.001	0.82	1	0.008	−0.020	−0.62	4	12	16
10057	1993	19930114	0.0006	0.101	0.044	0.88	0	−0.008	−0.015	−0.33	4	4	8

cpie_pin: Corresponds to CPIE_PIN in the paper (the PIN model)
cpie_dy: Corresponds to CPIE_DY in the paper (the DY model)
cpie_gpin: Corresponds to CPIE_GPIN in the paper (the GPIN model)
cpie_owr: Corresponds to CPIE_OWR (the Odders-White and Ready (2008) model)
cpie_mech: Is the CPIE_Mech, which is a dummy variable defined as: CPIE_Mech,j,t = 0 if turn_j,t < turn_j (mean), and 1 if turn_j,t ≥ turn_j (mean)
ret_d, ret_o, y_e: Correspond to (r_d, r_o, y_e)
n_buys and n_sells: Corresponds to B and S
turn: The sum, corresponding to turn

PIN Model

pin_yearly.csv sorted by permno and year.

permno	year	a	eb	es	u	d
10057	1993	0.2301	5.4697	5.7433	10.5068	0.6052
10057	1994	0.0810	6.9449	6.6969	34.4076	0.3984
10057	1995	0.2692	14.2371	16.8493	33.2753	0.8156
10064	1993	0.2502	45.7045	41.3353	71.4708	0.6673
10064	1994	0.2835	25.8929	27.7240	40.0622	0.6076
10064	1995	0.1656	32.7579	38.9675	94.3707	0.8213
10064	1996	0.1910	27.7305	39.9372	94.2733	0.8373
10071	1993	0.2755	15.2707	14.3848	22.8094	0.6077
10071	1994	0.2000	12.8310	14.1135	24.6615	0.6733

a: α
eb: ε_B
es: ε_S
u: μ
d: δ

DY Model

dy_yearly.csv sorted by permno and year.

permno	year	a	eb	es	ub	us	d	tn	sb	ss
10057	1993	0.38	4.67	3.55	10.63	5.00	0.21	0.20	7.67	7.74
10057	1994	0.30	4.52	4.84	10.81	9.21	0.51	0.07	26.43	32.65
10057	1995	0.43	11.92	9.46	26.59	10.60	0.40	0.24	21.59	25.63
10064	1993	0.36	35.98	37.14	31.10	69.81	0.76	0.15	82.19	30.60
10064	1994	0.49	16.74	24.25	21.83	45.73	0.88	0.24	27.10	21.28
10064	1995	0.37	27.68	31.84	39.64	43.77	0.59	0.09	103.78	39.22
10064	1996	0.21	26.46	38.54	78.89	124.34	0.87	0.02	226.61	623.26
10071	1993	0.36	11.91	11.46	11.65	17.20	0.60	0.20	23.35	14.43
10071	1994	0.44	9.46	11.76	11.65	15.28	0.74	0.10	30.51	21.51

a: α
eb: ε_B
es: ε_S
ub: μ_B
us: μ_S
d: δ
tn: θ
sb: Δ_B
ss: Δ_S

GPIN Model

gpin_yearly.csv sorted by permno and year.

permno	year	a	r	p	eta	d	th
10057	1993	0.30	6.51	0.62	1.00	1.00	0.44
10057	1994	0.17	2.27	0.85	1.00	0.40	0.51
10057	1995	0.28	2.89	0.92	1.00	0.48	0.54
10064	1993	0.19	7.25	0.93	0.75	0.57	0.53
10064	1994	0.16	8.48	0.87	0.78	0.48	0.50
10064	1995	0.18	5.88	0.93	0.77	0.76	0.44
10064	1996	0.11	2.41	0.97	0.90	0.59	0.44
10071	1993	0.21	6.46	0.83	0.79	0.60	0.52
10071	1994	0.13	5.01	0.85	0.88	0.80	0.44

a: α
r: r
p: p
eta: η
d: δ
th: θ

OWR Model

owr_yearly.csv sorted by permno and year.

permno	year	a	su	sz	si	spd	spo
10057	1993	0.7808	0.1886	0.4790	0.0226	0.0059	0.0101
10057	1994	0.4135	0.1548	0.5136	0.0298	0.0074	0.0108
10057	1995	0.7746	0.1368	0.4319	0.0251	0.0077	0.0000
10064	1993	0.2991	0.1227	0.3457	0.0248	0.0085	0.0072
10064	1994	0.6279	0.1516	0.3194	0.0222	0.0070	0.0047
10064	1995	0.7526	0.1865	0.3440	0.0241	0.0073	0.0009
10064	1996	0.6543	0.1391	0.3481	0.0299	0.0064	0.0000
10071	1993	0.7885	0.1390	0.4146	0.0148	0.0045	0.0054
10071	1994	0.6455	0.1417	0.4427	0.0132	0.0061	0.0050

a: α
su: σ_u
sz: σ_z
si: σ_i
spd: σ_pd
spo: σ_po

Code

All code and data are available on GitHub: edwinhu/pin-code

The repository includes:

Estimation models: gpin_model.py, owr_model.py, est.py
SAS data pipeline for WRDS/DTAQ processing
Slurm and SGE job scripts for cluster estimation
Pre-computed estimates: data/gpin_all.csv and data/owr_all.csv (2003–2024)