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A computing bias in estimating the probability of informed trading · Study

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ArticleA computing bias in estimating the probability of informed trading

Hsiou‐Wei William Lin2011

Article2011

A computing bias in estimating the probability of informed trading

Hsiou‐Wei William Lin · Wen-Chyan Ke

83 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1991Inferring Trade Direction from Intraday Data 2002Is Information Risk a Determinant of Asset Returns?1996Liquidity, Information, and Infrequently Traded Stocks 2008Why is PIN priced?☆1998Financial analysts and information-based trade 2010Factoring Information into Returns 2007Time-Varying Arrival Rates of Informed and Uninformed Trades 2001Knowing me, knowing you:

Cited by

2012From PIN to VPIN: An introduction to order flow toxicity 2017Does IFRS Mandatory Adoption Affect Information Asymmetry in the Stock Market?2012Informed trading, information uncertainty, and price momentum 2015A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering 2013The relationship between the frequency of news release and the information asymmetry: The role of uninformed trading 2018Measuring Tail Risks at High Frequency

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Papers that cite the same references — the relational fallback while embeddings are still backfilling.

2012From PIN to VPIN: An introduction to order flow toxicityarticle · 9 shared references 2015A faster estimation method for the probability of informed trading using hierarchical agglomerative clusteringarticle · 9 shared references 2008Aiming at Pin: Order Flow, Information, and Liquiditypreprint · 9 shared references 2023Asymmetric information and the distribution of trading volumearticle · 8 shared references 2006Estimating the probability of informed trading—does trade misclassification matter?article · 7 shared references 2015Does PIN measure information? Informed trading effects on returns and liquidity in six emerging marketsarticle · 7 shared references

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Year2011

Typearticle

Published2011-03-09

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations83

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2011.03.001

openalex_workW2060744217

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2016

An unbiased computation methodology for estimating the probability of informed trading (PIN)

2016Bid- and Ask-Side Liquidity in the NYSE Limit Order Book