Chen, Qi (contributor); Goldstein, Itay (contributor); … - 2005
probability that an
information event occurs is α, in which case the probability of bad news is δ and the probability
of good news … is (1−δ). If an information event occurs, the arrival rate of informed traders is µ.
Informed traders submit a sell order … if they get bad news and a buy order if they get good news.
Thus, on a day with no information event (which happens with …