The multilayer probability of informed trading (MPIN) model, developed by Ersan (2016), releases the assumption of single type of information events in the original PIN model of Easley et al. (1996). Identification of the number of layers in a dataset is applied through a layer detection...

The estimation of the PIN model and its extensions has posed significant challenges due to various computational problems. To address these issues, we propose a novel estimation method called the Expectation-Conditional Maximization (ECM) algorithm, which can serve as an alternative to existing...