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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
    as

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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

    as
    1. 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.
    2. 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.
    3. Ellul, Andrew & Holden, Craig W. & Jain, Pankaj & Jennings, Robert, 2007. "Order dynamics: Recent evidence from the NYSE," Journal of Empirical Finance, Elsevier, vol. 14(5), pages 636-661, December.
    4. Harrison Hong & Jiang Wang, 2000. "Trading and Returns under Periodic Market Closures," Journal of Finance, American Finance Association, vol. 55(1), pages 297-354, February.
    5. Lee, Charles M C & Ready, Mark J, 1991. " Inferring Trade Direction from Intraday Data," Journal of Finance, American Finance Association, vol. 46(2), pages 733-746, June.
    Full references (including those not matched with items 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.

    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

    Statistics

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