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Estimating the Probability of Informed Trading

โœ Scribed by Ken Nyholm


Book ID
110681116
Publisher
John Wiley and Sons
Year
2002
Tongue
English
Weight
154 KB
Volume
25
Category
Article
ISSN
0270-2592

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Probability of informed trading on the e
โœ Julien Idier; Stefano Nardelli ๐Ÿ“‚ Article ๐Ÿ“… 2011 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 346 KB ๐Ÿ‘ 1 views

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