We report evidence that boundary solutions can cause a bias in the estimate of the probability of informed trading (PIN …). We develop an algorithm to overcome this bias and use it to estimate PIN for nearly 80,000 stock-quarters between 1993 … and 2004. We obtain two sets of PIN estimates by using the factorized likelihood functions in both Easley, Hvidkjaer, and …

applied to estimate the probability of informed trading (PIN) based on the Easley, Hvidkjaer and OHara (2002) framework …

applied to estimate the probability of informed trading (PIN) based on the Easley, Hvidkjaer and O’Hara (2002) framework …

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 … et al. (2009) using high-frequency transaction data. Our empirical results show that while PIN is positively …

the dynamic PIN model of Easley, Engle, O’Hara y Wu (2008), for stocks of Argentina, Brazil, Chile, Colombia, Mexico and … Peru. We use panel data models to test for the relation between PIN, as a measure of information asymmetry, bid-ask spreads … empirical validity dynamic PIN model, and contribute to a better understanding of price formation in emerging markets. …

For models of the probability of informed trading (PIN), estimation can fail for firms with high levels of trading due … to computer over/under-flow. Since active firms tend to have large market capitalizations, studies that use PIN have … around important events, studies that use PIN may lose observations exactly during periods that are the focus of study. A …

The probability of informed trading (PIN) measure has been increasingly used in empirical research in finance. However …, there is a growing debate as to whether PIN measures information-based or liquidity-based trading. We contribute to the … discussion by estimating PIN using transaction data for one-month T-bills. Our PIN estimates exceed those reported for equities …