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The Intraday Probability of Informed Trading on the NYSE

In: Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb

Author

Listed:
  • Michael A. Goldstein

    (Babson College, Babson Park, USA)

  • Bonnie F. Van Ness

    (University of Mississippi, USA)

  • Robert A. Van Ness

    (University of Mississippi, USA)

Abstract

Trading and quoting exhibit distinct intraday patterns. Using transaction data for a sample of NYSE stocks, we analyze the intraday probability of informed trading using a model developed by Easley, Kiefer, O'Hara, and Paperman (1996). We find a crude inverted U-shaped pattern in the probability of informed trading on an intraday basis. We find that trading activity, measured by the number of trades, is positively related to the probability of informed trading, and the amount of regional activity is inversely related to the probability of informed trading.

Suggested Citation

  • Michael A. Goldstein & Bonnie F. Van Ness & Robert A. Van Ness, 2006. "The Intraday Probability of Informed Trading on the NYSE," World Scientific Book Chapters, in: Ivan E Brick & Tavy Ronen & Cheng-Few Lee (ed.), Advances In Quantitative Analysis Of Finance And Accounting Essays in Microstructure in Honor of David K Whitcomb, chapter 7, pages 139-158, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789812707291_0007
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    Cited by:

    1. Ramazan Gençay & Nikola Gradojevic & Richard Olsen & Faruk Selçuk, 2015. "Informed traders’ arrival in foreign exchange markets: Does geography matter?," Empirical Economics, Springer, vol. 49(4), pages 1431-1462, December.

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