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An improved estimation method and empirical properties of the probability of informed trading

✍ Scribed by Yuxing Yan; Shaojun Zhang


Book ID
116615947
Publisher
Elsevier Science
Year
2012
Tongue
English
Weight
353 KB
Volume
36
Category
Article
ISSN
0378-4266

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In this paper the probability of informed trading (PIN) model developed by Easley and O'Hara is applied to analyse the role and impact of heterogeneities in the euro overnight unsecured market. The empirical assessment of the functioning of this market is based on the PIN that measures the ability o