The Probability of Informed Trading based on VAR Model

被引：0
|
作者：
Xu, Min [1 ]
Liu, Shancun [1 ]
机构：
[1] Beihang Univ, Sch Econ & Management, Beijing 100083, Peoples R China
来源：
2009 INTERNATIONAL CONFERENCE ON BUSINESS INTELLIGENCE AND FINANCIAL ENGINEERING, PROCEEDINGS | 2009年
关键词：
probability of informed trading; informed trader; spread; intraday pattern; announcement; INFORMATION; LIQUIDITY;
D O I：
10.1109/BIFE.2009.173
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The paper researches the representative variable of the probability of informed trading, selecting CCER high-frequency trading data of Shanghai Stock Exchange from 2003.7.1 to 2003.12.31, adopting VAR model. Different from previous studies, the paper firstly accounts for the dynamic relationship between trade and price. Then, the content of information in trading volume, duration and trading direction are considered in our model. Finally, it gets the probability of informed trading and analyzes this variable. The results show: the probability of informed trading is about 0.172713; the more asymmetric information is, the larger spread is; the probability of informed trading is the well-known U-shape; it is the biggest before the announcement.
引用
收藏
页码：750 / 753
页数：4
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