Intraday probability of informed trading

Zaichao Du

Economics Bulletin, 2011, vol. 31, issue 4, 3103-3112

Abstract: By extending Easley, Kiefer, O'Hara and Paperman's (1996) framework to an intraday model, I empirically estimate the intraday probability of informed trading (PIN) for the 30 stocks in DJIA index. I document a U-shaped PIN pattern over the time of a day, and the consequent test validates this finding.

Keywords: Probability of informed trading; Market microstructure (search for similar items in EconPapers)
JEL-codes: C5 G1 (search for similar items in EconPapers)
Date: 2011-11-09
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Citations: View citations in EconPapers (3)

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