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...
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| Main Authors: | , , , |
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| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
2009
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| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/519 https://ink.library.smu.edu.sg/context/soe_research/article/1518/viewcontent/UsingHighFreqTransactionData_2009_JFE.pdf |
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| Institution: | Singapore Management University |
| Language: | English |