EconPapers    
Economics at your fingertips  
 

Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading

Anthony S Tay (), Christopher Ting (), Yiu Kuen Tse () and Mitch Warachka ()
Additional contact information
Christopher Ting: Lee Kong Chian School of Business, Singapore Management University
Yiu Kuen Tse: School of Economics, Singapore Management University
Mitch Warachka: Lee Kong Chian School of Business, Singapore Management University

No 13-2007, Working Papers from Singapore Management University, School of Economics

Abstract: This paper implements the Asymmetric Autoregressive Conditional Duration (AACD) model of Bauwens and Giot (2003) to analyze irregularly spaced transaction data of trade direction, namely buy versus sell orders. We examine the influence of lagged transaction duration, lagged volume and lagged trade direction on transaction duration and direction. Our results are applied to estimate the probability of informed trading (PIN) based on the Easley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley- Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sell orders, the AACD model makes full use of transaction data and allows for interactions between buy and sell orders.

Keywords: Autoregressive Conditional Duration; Market Microstructure; Probability of informed Trading; Transaction Data; Weibull Distribution (search for similar items in EconPapers)
JEL-codes: C41 G12 (search for similar items in EconPapers)
Pages: 22 pages
Date: 2007-01
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in SMU Economics and Statistics Working Paper Series

Downloads: (external link)
https://mercury.smu.edu.sg/rsrchpubupload/16348/PIN_JFE_submit.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found

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:siu:wpaper:13-2007

Ordering information: This working paper can be ordered from

Access Statistics for this paper

More papers in Working Papers from Singapore Management University, School of Economics Contact information at EDIRC.
Bibliographic data for series maintained by QL THor ().

 
Page updated 2020-09-24
Handle: RePEc:siu:wpaper:13-2007