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Investor protection, adverse selection, and the probability of informed trading

โœ Scribed by Paul Brockman; Dennis Y. Chung


Book ID
106516246
Publisher
Springer US
Year
2007
Tongue
English
Weight
275 KB
Volume
30
Category
Article
ISSN
0924-865X

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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