Identifying information asymmetry in securities markets
We propose and estimate a model of endogenous informed trading that is a hybrid of the
PIN and Kyle models. When an informed trader trades optimally, both returns and order …
PIN and Kyle models. When an informed trader trades optimally, both returns and order …
Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate
T Ma, PAF Fraser-Mackenzie, M Sung… - European Journal of …, 2022 - Elsevier
Concerns regarding the assumptions of the Efficient Market Hypothesis have led to a greater
emphasis on how the behaviour of different groups of traders might impact the evolution of …
emphasis on how the behaviour of different groups of traders might impact the evolution of …
A comparison of some structural models of private information arrival
We show that the PIN and the Duarte and Young (2009)(APIN) models do not match the
variability of noise trade in the data and that this limitation has severe implications for how …
variability of noise trade in the data and that this limitation has severe implications for how …
Probability of informed trading: a Bayesian approach
L Bosque, P Albuquerque, Y Peng… - … Journal of Applied …, 2020 - inderscienceonline.com
One of the most popular models for measuring information asymmetry of financial assets is
the probability of informed trading model (PIN). Its theoretical foundation and its wide …
the probability of informed trading model (PIN). Its theoretical foundation and its wide …
Estimating the probability of informed trading: A Bayesian approach
Abstract The Probability of Informed Trading (PIN) is a widely used indicator of information
asymmetry risk in the trading of securities. Its estimation using maximum likelihood …
asymmetry risk in the trading of securities. Its estimation using maximum likelihood …
A note of techniques that mitigate floating-point errors in PIN estimation
WC Ke, H Chen, HWW Lin - Finance Research Letters, 2019 - Elsevier
This study aims at the estimation of the probability of informed trading (PIN), which may fail
for stocks with high levels of trading activities due to a computer's floating-point exception …
for stocks with high levels of trading activities due to a computer's floating-point exception …
Probability of Informed No-Tradings: A Copula-Based PIN Model with Zero-Inflated Poisson Distributions
Classical probability of informed trading (PIN) models assume that, given the information
scenario, the number of buy and sell order flows are independently Poisson distributed …
scenario, the number of buy and sell order flows are independently Poisson distributed …
Ranking the Trading Symbols of the Largest Companies Listed in the Tehran Stock Exchange Based on the Probability of Informed Trade Criteria
M Mirbagherijam - Iranian Economic Review, 2020 - ier.ut.ac.ir
In this paper, trading symbols of the 30 largest companies listed in the Tehran Stock
Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and …
Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and …
[PDF][PDF] Has the Introduction of Extended Trading Hours Enhanced Market Quality?
L Mu - 2020 - efmaefm.org
This paper investigates the characteristics of options markets in extended trading hours
(ETH) and documents positive liquidity externality with network effect and information …
(ETH) and documents positive liquidity externality with network effect and information …
A New Estimation for Informed Trading Based on SSNF Method
T Bing, S Zhao, Q Zhang, S Liu - Journal of Systems Science and …, 2018 - Springer
This paper estimates the information-based trading using spatially selective noise filtration
(SSNF) method. The SSNF method is a kind of filtration technique based on the different …
(SSNF) method. The SSNF method is a kind of filtration technique based on the different …