Chang, Sanders S.; Chang, Lenisa V.; Wang, F. Albert - In: Journal of Empirical Finance 29 (2014) C, pp. 80-94
trading process to estimate the probability of informed trading. A notable limiting feature of PIN is that one must aggregate … implement a dynamic intraday measure of the probability of informed trading that circumvents this aggregation issue and allows … measure of the probability of informed trading to examine the relationship between private information and firm …