Probability of informed trading on the e
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Julien Idier; Stefano Nardelli
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Article
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2011
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John Wiley and Sons
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English
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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