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Information content in small and large trades

Dey, Malay K.; Stern, Hal S.; Zhang, Hongmei - In: Economic notes : economic review of Banca Monte dei … 40 (2011) 1/2, pp. 45-74

Persistent link: https://www.econbiz.de/10009299637

Volume decomposition and volatility in dual-listing H-shares

Dey, Malay K.; Wang, Chaoyan - In: The journal of asset management : a major new, … 22 (2021) 4, pp. 301-310

Persistent link: https://www.econbiz.de/10012581634

Information Content in Small and Large Trades

Dey, Malay K. - 2011

We estimate the probabilities of informed trading (PIN) for small and large trades and then investigate their determinants. We model a competitive dealership market for equities with two order sizes using a Poisson process mixture model and use TORQ data to estimate the parameters for the model...

Persistent link: https://www.econbiz.de/10013126285

Asymmetric volume volatility causality in dual listing H-shares

Dey, Malay K.; Wang, Chaoyan - In: The journal of asset management : a major new, … 23 (2022) 5, pp. 419-428

Persistent link: https://www.econbiz.de/10013392097