Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
Year of publication: |
2007-01
|
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Authors: | Tay, Anthony ; Ting, Christopher ; Tse, Yiu Kuen ; Warachka, Mitch |
Institutions: | East Asian Bureau of Economic Research (EABER) |
Subject: | Autoregressive Conditional Duration | Market microstructure | Probability of Informed Trading | Transaction Data | Weibull Distribution |
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