Estimation of time-varying adjusted probability of informed trading and probability of symmetric order-flow shock
Recently Duarte and Young (2009) study the probability of informed trading (PIN) proposed by Easley et al. (2002) and decompose it into two parts: the adjusted PIN (APIN) as a measure of asymmetric information and the probability of symmetric order-flow shock (PSOS) as a measure of illiquidity. They...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2013
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| Online Access: | https://ink.library.smu.edu.sg/soe_research/1398 https://ink.library.smu.edu.sg/context/soe_research/article/2397/viewcontent/PR_JAE_R3.pdf |
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| Institution: | Singapore Management University |
| Language: | English |