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Limit order book transparency, execution risk, and market liquidity : evidence from the Sydney futures exchange

Bortoli, Luke; Frino, Alex; Fung, Joseph K. W.; … - In: The journal of futures markets 26 (2006) 12, pp. 1147-1167

Persistent link: https://www.econbiz.de/10003392008

Anonymity, stealth trading, and the information content of broker identity

Frino, Alex; Johnstone, David; Zheng, Hui - In: The financial review : the official publication of the … 45 (2010) 3, pp. 501-522

Persistent link: https://www.econbiz.de/10009374253

Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange

Frino, Alex; Jarnecic, Elvis; Johnstone, David; Lepone, … - In: Pacific-Basin finance journal 13 (2005) 3, pp. 247-262

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Does the probability of informed trading model fit empirical data?

Quan Gan; Wang Chun Wei; Johnstone, David - In: The financial review : the official publication of the … 52 (2017) 1, pp. 5-35

Persistent link: https://www.econbiz.de/10011656854

Does the Probability of Informed Trading Model Fit Empirical Data?

Gan, Quan - 2015

The probability of informed trading (PIN) is used widely as a measure of information asymmetry. Relatively little work has appeared on how well PIN models fit empirical trade data. We reveal structural limitations in PIN models by examining their marginal distributions and dependence structures...

Persistent link: https://www.econbiz.de/10013032092