Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades jointly. Un...

Full description

Saved in:
Bibliographic Details
Main Authors: Tay, Anthony S., Ting, Christopher, TSE, Yiu Kuen, WARACHKA, Mitchell Craig
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2009
Subjects:
autoregressive conditional duration
market microstructure
probability of informed trading
transaction data
Weibull distribution
Finance and Financial Management
Portfolio and Security Analysis
Online Access:https://ink.library.smu.edu.sg/lkcsb_research/1901
https://doi.org/10.1093/jjfinec/nbp005
Tags: Add Tag
No Tags, Be the first to tag this record!
Institution: Singapore Management University
Language: English

Internet

https://ink.library.smu.edu.sg/lkcsb_research/1901
https://doi.org/10.1093/jjfinec/nbp005

Similar Items