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
相关论文
共 50 条
  • [21] The probability of informed trading measured with price impact, price reversal, and volatility
    Kitamura, Yoshihiro
    JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, 2016, 42 : 77 - 90
  • [22] BAYESIAN PROBABILITY APPROACH TO ADHD APPRAISAL
    Robeva, Raina
    Penberthy, Jennifer Kim
    METHODS IN ENZYMOLOGY: COMPUTER METHODS, PART B, 2009, 467 : 357 - 380
  • [23] A Bayesian Approach for Calibrating Probability Judgments
    Firmino, Paulo Renato A.
    Santana, Nielson A.
    XI BRAZILIAN MEETING ON BAYESIAN STATISTICS (EBEB 2012), 2012, 1490 : 135 - 142
  • [24] Bayesian probability approach for Exponential AFT
    Voiculescu, Sorin
    59TH ANNUAL RELIABILITY AND MAINTAINABILITY SYMPOSIUM (RAMS), 2013,
  • [25] The Microstructure of the "Flash Crash": Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading
    Easley, David
    de Prado, Marcos M. Lopez
    O'Hara, Maureen
    JOURNAL OF PORTFOLIO MANAGEMENT, 2011, 37 (02): : 118 - 128
  • [26] A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering
    Gan, Quan
    Wei, Wang Chun
    Johnstone, David
    QUANTITATIVE FINANCE, 2015, 15 (11) : 1805 - 1821
  • [27] Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
    Tay, Anthony
    Ting, Christopher
    Tse, Yiu Kuen
    Warachka, Mitch
    JOURNAL OF FINANCIAL ECONOMETRICS, 2009, 7 (03) : 288 - 311
  • [28] ESTIMATION OF TIME-VARYING ADJUSTED PROBABILITY OF INFORMED TRADING AND PROBABILITY OF SYMMETRIC ORDER-FLOW SHOCK
    Preve, Daniel
    Tse, Yiu-Kuen
    JOURNAL OF APPLIED ECONOMETRICS, 2013, 28 (07) : 1138 - 1152
  • [29] Informed trading, institutional trading, and spread
    Dey M.K.
    Radhakrishna B.
    Journal of Economics and Finance, 2015, 39 (2) : 288 - 307
  • [30] A PIN per day shows what news convey: the intraday probability of informed trading
    Pöppe T.
    Aitken M.
    Schiereck D.
    Wiegand I.
    Review of Quantitative Finance and Accounting, 2016, 47 (4) : 1187 - 1220
12345