Abad, David; Rubia, Antonio - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005
Determining the degree of informational asymmetry is a major topic in the literature of modern microstructure. In this paper, we review and analyze the suitability of the models for estimating the probability of informed trading [Easley et al., 1996; Nyholm, 2002, 2003]. The empirical analysis is...