Intraday probability of informed trading
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.
Volume (Year): 31 (2011)
Issue (Month): 4 ()
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References listed on IDEAS
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- Henker, Thomas & Wang, Jian-Xin, 2006. "On the importance of timing specifications in market microstructure research," Journal of Financial Markets, Elsevier, vol. 9(2), pages 162-179, May.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2008.
"Time-Varying Arrival Rates of Informed and Uninformed Trades,"
Journal of Financial Econometrics,
Society for Financial Econometrics, vol. 6(2), pages 171-207, Spring.
- David Easley & Robert F. Engle & Maureen O'Hara & Liuren Wu, 2002. "Time-Varying Arrival Rates of Informed and Uninformed Trades," Finance 0207017, EconWPA.
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