Karyampas, Dimitrios; Paiardini, Paola - Birkbeck, Department of Economics, Mathematics & Statistics - 2011
We use the new procedure developed by Easley et al. to estimate the Probability of Informed Trading (PIN), based on the volume imbalance: Volume-Synchronized Probability of Informed Trading (VPIN). Unlike the previous method, this one does not require the use of numerical methods to estimate...