Kumar, Raman; Popescu, Marius - In: Review of Quantitative Finance and Accounting 42 (2014) 2, pp. 357-371
The paper develops a methodology for estimating the intra-day probability of informed trading for NYSE stocks, implied by the specialist’s quotes and depths. The time series pattern of our measure (PROBINF) in an intra-day analysis around earnings announcements is consistent with previous...