Does the probability of informed trading model fit empirical data?
Year of publication: |
February 2017
|
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Authors: | Quan Gan ; Wang Chun Wei ; Johnstone, David |
Published in: |
The financial review : the official publication of the Eastern Finance Association. - Malden, Mass. [u.a.] : Blackwell, ISSN 0732-8516, ZDB-ID 864322-2. - Vol. 52.2017, 1, p. 5-35
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Subject: | PIN | dependence structure | copula | mixture model | Rosenblatt's transformation | goodness-of-fit test | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Wertpapierhandel | Securities trading | Statistische Verteilung | Statistical distribution | Marktmikrostruktur | Market microstructure |
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