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Estimating Multilayer Probability of Informed Trading (MPIN) in Financial Market Microstructure Framework; A Case Study of the Financial Intermediary Sector

Author

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  • taleblou, Reza

    (Associate Professor of Economics, Allameh Tabataba'i University)

  • mohajeri, parisa

    (Associate Professor of Economics, Allameh Tabataba'i University)

Abstract

Accurately determining the level of information asymmetry is crucial for traders to make appropriate decisions regarding asset selection, timing, risk level redefinition, and required rate of return. It is also essential for regulators to achieve designing a well-functioning market. The Probability of Informed Trading (PIN) is one of the important measures

Suggested Citation

  • taleblou, Reza & mohajeri, parisa, 2024. "Estimating Multilayer Probability of Informed Trading (MPIN) in Financial Market Microstructure Framework; A Case Study of the Financial Intermediary Sector," Journal of Monetary and Banking Research (فصلنامه پژوهش‌های پولی-بانکی), Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 16(58), pages 643-673, February.
    • Handle: RePEc:mbr:jmbres:v:16:y:2024:i:58:p:643-673
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