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Using high-frequency transaction data to estimate the probability of informed trading

Tay, Anthony S. A.; Ting, Christopher; Tse, Yiu Kuen; … - In: Journal of financial econometrics : official journal of … 7 (2009) 3, pp. 288-311

Persistent link: https://www.econbiz.de/10003884192

Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

Tay, Anthony S. - 2010

This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades...

Persistent link: https://www.econbiz.de/10013152387

Cointegration and the optimal hedge ratio : the general case

Lien, Da-hsiang Donald - In: The quarterly review of economics and finance : journal … 44 (2004) 5, pp. 654-658

Persistent link: https://www.econbiz.de/10002468164

The effect of the cointegration relationship on futures hedging : a note

Lien, Da-hsiang Donald - In: The journal of futures markets 16 (1996) 7, pp. 773-780

Persistent link: https://www.econbiz.de/10001205863

Who knows more and makes more? : a perspective of order submission decisions across investor types

Lien, Da-hsiang Donald; Hung, Pi-Hsia; Chen, Hung-Ju - In: The quarterly review of economics and finance : journal … 79 (2021), pp. 381-398

Persistent link: https://www.econbiz.de/10012655075

Trading aggressiveness, order execution quality, and stock price movements : evidence from the Taiwan stock exchange

Hung, Pi-Hsia; Lien, Da-hsiang Donald - In: Journal of international financial markets, … 60 (2019), pp. 231-251

Persistent link: https://www.econbiz.de/10012128011

Price discovery in the S&P 500 index derivatives markets

Chen, Wei Peng; Chung, Huimin; Lien, Da-hsiang Donald - In: International review of economics & finance : IREF 45 (2016), pp. 438-452

Persistent link: https://www.econbiz.de/10011626500

Price limit changes and market quality in the Taiwan Stock Exchange

Lien, Da-hsiang Donald; Hung, Pi-Hsia; Zhu, Jia-De; … - In: Pacific-Basin finance journal 55 (2019), pp. 239-258

Persistent link: https://www.econbiz.de/10012169533

Order price clustering, size clustering, and stock price movements: evidence from the Taiwan Stock Exchange

Lien, Da-hsiang Donald; Hung, Pi-Hsia; Hung, I-Chung - In: Journal of empirical finance 52 (2019), pp. 149-177

Persistent link: https://www.econbiz.de/10012170684

Whose trades contribute more to price discovery? : evidence from the Taiwan stock exchange

Lien, Da-hsiang Donald; Hung, Pi-Hsia - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 213-263

Persistent link: https://www.econbiz.de/10014342030