This study adds to the literature on estimating the probability of informed trading (PIN), which interests market microstructure empiricists, by proposing the q-adjustment to the process of estimating PIN. Due to challenges in accessing the data necessary for distinguishing between buyer- and...

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...

We propose an analytically tractable class of models for the dynamics of a limit order book, described as the solution of a stochastic partial differential equation (SPDE) with multiplicative noise. We provide conditions under which the model admits a finite dimensional realization driven by a...

One popular approach to model the limit order books dynamics of the best bid and ask at level-1 is to use the reduced-form diffusion approximations. It is well known that the biggest contributing factor to the price movement is the imbalance of the best bid and ask. We investigate the data of...