Probability of informed trading: A Bayesian approach

被引：0
|
作者：
Bosque L. [1 ]
Albuquerque P. [1 ]
Peng Y. [1 ]
da-Silva C. [1 ]
Nakano E. [1 ]
机构：
[1] University of Brasilia, DF
来源：
International Journal of Applied Decision Sciences | 2020年 / 13卷 / 02期
关键词：
Bayesian inference; Information asymmetry; Market microstructure model; PIN; Private information; Probability of informed trading;
D O I：
10.1504/IJADS.2020.106415
中图分类号：
学科分类号：
摘要：
One of the most popular models for measuring information asymmetry of financial assets is the probability of informed trading model (PIN). Its theoretical foundation and its wide possibility of application made PIN a benchmark in insider trading studies. In view of the interpretability of PIN and its parameters, this study aims to evaluate and propose a Bayesian version for the probability of informed trading model. The proposed approach brings the possibility to include expert opinions about PIN parameters and represents a new contribution to the theoretical scope of market microstructure models. © 2020 Inderscience Enterprises Ltd.
引用
收藏
页码：183 / 214
页数：31
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