The PIN model and its extensions have proven challenging in their estimation, as they suffer from several computational problems. We set in this paper to address these computational issues by proposing the use of the expectation-conditional maximization (ECM) algorithm to estimate the various...

The multilayer probability of informed trading (MPIN) model, developed by Ersan (2016), releases the assumption of single type of information events in the original PIN model of Easley et al. (1996). Identification of the number of layers in a dataset is applied through a layer detection...

The estimation of the PIN model and its extensions has posed significant challenges due to various computational problems. To address these issues, we propose a novel estimation method called the Expectation-Conditional Maximization (ECM) algorithm, which can serve as an alternative to existing...

The paper presents a large-population analog of fictitious play in which players learn from personal experience. In each period, only one player updates his beliefs about the strategy distribution in the population. Through analysis and examples, we justify the relevance of the single update...

High-frequency trading (HFT) has been dominating the activity in developed financial markets in the last two decades. Despite its recent formation, the literature on the impacts of HFT on financial markets and participants is broad. However, there are ongoing debates and unanswered questions...

This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of...

Ghost liquidity (GL) in fragmented markets, is defined as the observable but not accessible liquidity that is mostly associated with the rapid cancellations of multiple orders in different venues when an order is executed in a venue. We track the prevalence and the impacts of GL in the case of a...