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MODELOS DE ESTIMACION DE LA PROBABILIDAD DE NEGOCIACION INFORMADA: UNA COMPARACION METODOLOGICA EN EL MERCADO ESPAÑOL

Abad, David; Rubia, Antonio - Instituto Valenciano de Investigaciones Económicas (IVIE) - 2005

Determining the degree of informational asymmetry is a major topic in the literature of modern microstructure. In this paper, we review and analyze the suitability of the models for estimating the probability of informed trading [Easley et al., 1996; Nyholm, 2002, 2003]. The empirical analysis is...

Persistent link: https://www.econbiz.de/10005212531

An unbiased computation methodology for estimating the probability of informed trading (PIN)

Ersan, Oguz; Alıcı, Aslı - In: Journal of international financial markets, … 43 (2016), pp. 74-94

Persistent link: https://www.econbiz.de/10011673499

An improved estimation method and empirical properties of the probability of informed trading

Yan, Yuxing; Zhang, Shaojun - In: Journal of Banking & Finance 36 (2012) 2, pp. 454-467

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 …

Persistent link: https://www.econbiz.de/10010577980

Estimating the Probability of Informed Trading

Nyholm, Ken - 2001

Using a new empirical model, I estimate the probability of trades being generated by privately informed traders. Inference is drawn on a trade-by-trade basis using data samples from the New York Stock Exchange (NYSE). The modeling setup facilitates in-depth analysis of the estimated probability...

Persistent link: https://www.econbiz.de/10012787645

Learning and Information Dissemination in Limit Order Markets

Wei, Lijian; Zhang, Wei; He, Xue-Zhong; Zhang, Yongjie - Finance Discipline Group, Business School - 2013

What can traders learn and how does learning affect the market? When information is asymmetric, short-lived, and uninformed traders learn, we present an artificial limit order market model to examine the effect of learning, information value, and order aggressiveness on information dissemination...

Persistent link: https://www.econbiz.de/10010754098

Does information vault Niagara Falls? Cross-listed trading in New York and Toronto

Chen, Haiqiang; Choi, Paul Moon Sub - In: Journal of Empirical Finance 19 (2012) 2, pp. 175-199

(PIN) for Canadian shares traded on both sides of Niagara Falls. Relative to the New York Stock Exchange (NYSE), the … depends on trade informativeness. Lastly, the PIN for TSX trading typically rises upon cross-listing on the NYSE, which is …

Persistent link: https://www.econbiz.de/10010576509

The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading

Sankaraguruswamy, Srinivasan; Shen, Jianfeng; Yamada, … - In: Journal of Banking & Finance 37 (2013) 11, pp. 4134-4143

relation holds for various measures of information asymmetry such as the probability of information-based trading (PIN … release and information asymmetry. By decomposing the PIN into intensities of uninformed and informed trades, similarly to … for firms with more frequent news releases. As a result, information asymmetry, as is measured by PIN, decreases for such …

Persistent link: https://www.econbiz.de/10010875296

Convergence and the effects of spatial interaction

Niebuhr, Annekatrin - 2000

Since the beginning of the 1990s, the issue of income convergence has received considerable attention in economic research. Although a vast number of empirical studies has emerged, evidence on the role of spatial interaction is still rather scarce. The present paper is an attempt to provide...

Persistent link: https://www.econbiz.de/10010295602

Spatial R&D spillovers and economic growth: Evidence from West Germany

Funke, Michael; Niebuhr, Annekatrin - 2000

The paper bases itself on recent theoretical writings in growth economics that empha-size the effects of both own R&D efforts and of interregional technology spillovers on regions´ productivity. We propose robust estimation techniques to evaluate the R&D spillovers across West German functional...

Persistent link: https://www.econbiz.de/10010295614

New Evidence on Linear Regression and Treatment Effect Heterogeneity

Sloczynski, Tymon - 2015

It is standard practice in applied work to rely on linear least squares regression to estimate the effect of a binary variable ("treatment") on some outcome of interest. In this paper I study the interpretation of the regression estimand when treatment effects are in fact heterogeneous. I show...

Persistent link: https://www.econbiz.de/10011401759

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