Dynamic probability of informed trading and price movements: evidence from the CSI300 index futures market

Yan Yan and Ouyang Hongbing

Applied Economics Letters, 2018, vol. 25, issue 14, 998-1003

Abstract: This article first uses dynamic probability of informed trading (DPIN) for measuring the probability of informed trading in the CSI300 index futures market and proves its validity for predicting future price movements. Instead of using the original Lee–Ready algorithm, this study uses bulk volume classification (BVC) for classifying volume. BVC could effectively improve the predictive power of DPIN for future price movements. The relationship between DPIN and returns indicates that informed buying raises the futures price while informed selling moves the futures price downward. DPIN could effectively capture price information in the index future markets in China.

Date: 2018
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://hdl.handle.net/10.1080/13504851.2017.1391990 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apeclt:v:25:y:2018:i:14:p:998-1003

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAEL20

DOI: 10.1080/13504851.2017.1391990

Access Statistics for this article

Applied Economics Letters is currently edited by Anita Phillips

More articles in Applied Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().