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Intraday probability of informed trading

Author

Listed:
  • Zaichao Du

    (Southwestern University of Finance and Economics)

Abstract

By extending Easley, Kiefer, O'Hara and Paperman's (1996) framework to an intraday model, I empirically estimate the intraday probability of informed trading (PIN) for the 30 stocks in DJIA index. I document a U-shaped PIN pattern over the time of a day, and the consequent test validates this finding.

Suggested Citation

  • Zaichao Du, 2011. "Intraday probability of informed trading," Economics Bulletin, AccessEcon, vol. 31(4), pages 3103-3112.
    • Handle: RePEc:ebl:ecbull:eb-11-00590
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    File URL: http://www.accessecon.com/Pubs/EB/2011/Volume31/EB-11-V31-I4-P281.pdf
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    References listed on IDEAS

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    Cited by:

    1. Michael D. Bauer & Glenn D. Rudebusch, 2017. "Resolving the Spanning Puzzle in Macro-Finance Term Structure Models," Review of Finance, European Finance Association, vol. 21(2), pages 511-553.
    2. Malinova, Katya & Park, Andreas, 2014. "The impact of competition and information on intraday trading," Journal of Banking & Finance, Elsevier, vol. 44(C), pages 55-71.

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    More about this item

    Keywords

    Probability of informed trading; Market microstructure;

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets
    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling

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