The Intraday Probability of Informed Trading on the NYSE

Michael A. Goldstein, Bonnie F. Van Ness and Robert A. Van Ness
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Michael A. Goldstein: Babson College, Babson Park, USA
Bonnie F. Van Ness: University of Mississippi, USA
Robert A. Van Ness: University of Mississippi, USA

Chapter 7 in Advances in Quantitative Analysis of Finance and Accounting:Essays in Microstructure in Honor of David K Whitcomb, 2006, pp 139-158 from World Scientific Publishing Co. Pte. Ltd.

Abstract: AbstractTrading and quoting exhibit distinct intraday patterns. Using transaction data for a sample of NYSE stocks, we analyze the intraday probability of informed trading using a model developed by Easley, Kiefer, O'Hara, and Paperman (1996). We find a crude inverted U-shaped pattern in the probability of informed trading on an intraday basis. We find that trading activity, measured by the number of trades, is positively related to the probability of informed trading, and the amount of regional activity is inversely related to the probability of informed trading.

Keywords: Liquidity; Volatility; Limit Orders; Microstructure; Trading Structure (search for similar items in EconPapers)
Date: 2006
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