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  • Search: subject:"Probability of Informed Trading"
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Year of publication
Subject
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Securities trading 31 Wertpapierhandel 31 Probability of informed trading 27 Asymmetric information 26 Asymmetrische Information 26 Market microstructure 24 Marktmikrostruktur 21 Theorie 15 Theory 15 Aktienmarkt 14 Stock market 14 Börsenkurs 12 Share price 12 Liquidity 10 probability of informed trading 10 Information asymmetry 9 Insider trading 9 Insiderhandel 9 Economics of information 8 Informationsökonomik 8 Liquidität 7 Probability of informed trading (PIN) 7 liquidity 6 Bid-ask spread 5 Geld-Brief-Spanne 5 VPIN 5 Anlageverhalten 4 Behavioural finance 4 Cross-listing 4 Estimation 4 PIN 4 Schätzung 4 information asymmetry 4 market microstructure 4 Ankündigungseffekt 3 Announcement effect 3 Arbitrage 3 Börsenhandel 3 Corporate disclosure 3 Dual listing 3
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Online availability
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Undetermined 32 Free 9
Type of publication
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Article 47 Book / Working Paper 7
Type of publication (narrower categories)
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Article in journal 33 Aufsatz in Zeitschrift 33
Language
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English 35 Undetermined 18 Spanish 1
Author
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Lin, Emily 5 Easley, David 3 López de Prado, Marcos M. 3 O'Hara, Maureen 3 Yan, Yuxing 3 Zhang, Shaojun 3 Abad, David 2 Chang, Charles 2 Chen, Haiqiang 2 Huh, Sahn-Wook 2 Kryzanowski, Lawrence 2 Lai, Hung-neng 2 Lazrak, Skander 2 Lee, Woo-Jong 2 Lin, Hao 2 Pöppe, Thomas 2 Rubia, Antonio 2 Schiereck, Dirk 2 Tay, Anthony 2 Ting, Christopher 2 Tse, Yiu Kuen 2 Visaltanachoti, Nuttawat 2 Wang, Kehluh 2 Warachka, Mitch 2 Agudelo, Diego A. 1 Ahn, Hee-joon 1 Aitken, Michael J. 1 Alıcı, Aslı 1 Andersen, Torben 1 Andrada Félix, Julián 1 Bambade, Antoine 1 Bhattacharya, Arnab 1 Bien, Katarzyna 1 Cai, Jun 1 Cepoi, Cosmin Octavian 1 Chakrabarti, Binay Bhushan 1 Charoenwong, Charlie 1 Chen, Chen 1 Chen, Tsung-Yu 1 Cheng, Tsung-Chi 1
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Institution
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Instituto Valenciano de Investigaciones Económicas (IVIE) 2 School of Economics, Singapore Management University 2 East Asian Bureau of Economic Research (EABER) 1 UNIVERSIDAD EAFIT 1 Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie 1
Published in...
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Journal of Banking & Finance 3 Journal of banking & finance 3 Journal of financial markets 3 Review of quantitative finance and accounting 3 Finance research letters 2 Journal of Financial Markets 2 Journal of empirical finance 2 The North American journal of economics and finance : a journal of financial economics studies 2 Working Papers / School of Economics, Singapore Management University 2 Accounting and finance : journal of the Accounting Association of Australia and New Zealand 1 Asia-Pacific journal of financial studies 1 DOCUMENTOS DE TRABAJO CIEF 1 Economics Bulletin 1 Emerging markets finance & trade : a journal of the Society for the Study of Emerging Markets 1 Emerging markets, finance & trade : a journal of the Society for the Study of Emerging Markets 1 Finance Working Papers 1 Finance a úvěr 1 International Journal of Economic Sciences 1 International Review of Economics & Finance 1 International journal of critical accounting : IJCA 1 International review of economics & finance : IREF 1 Iranian economic review : journal of University of Tehran 1 Journal of Accounting and Economics 1 Journal of Empirical Finance 1 Journal of International Money and Finance 1 Journal of accounting & economics 1 Journal of economic dynamics & control 1 Journal of international financial markets, institutions & money 1 Journal of mathematical finance 1 Mathematical finance : an international journal of mathematics, statistics and financial theory 1 Pacific-Basin Finance Journal 1 Pacific-Basin finance journal 1 Quantitative finance 1 Review of Pacific Basin Financial Markets and Policies (RPBFMP) 1 Review of Pacific Basin financial markets and policies 1 Review of Quantitative Finance and Accounting 1 Review of finance : journal of the European Finance Association 1 The European journal of finance 1 Working Papers / Zakład Ekonometrii Stosowanej, Szkoła Główna Handlowa w Warszawie 1 Working Papers. Serie AD 1
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Source
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ECONIS (ZBW) 33 RePEc 21
Showing 21 - 30 of 54
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Pinning down an effective measure for probability of informed trading
Petchey, James; Wee, Marvin; Yang, Wenling - In: Pacific-Basin finance journal 40 (2016), pp. 456-475
Persistent link: https://www.econbiz.de/10011712277
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A PIN per day shows what news convey : the intraday probability of informed trading
Pöppe, Thomas; Aitken, Michael J.; Schiereck, Dirk; … - In: Review of quantitative finance and accounting 47 (2016) 4, pp. 1187-1220
Persistent link: https://www.econbiz.de/10011596226
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The sensitivity of VPIN to the choice of trade classification algorithm
Pöppe, Thomas; Moos, Sebastian; Schiereck, Dirk - In: Journal of banking & finance 73 (2016), pp. 165-181
Persistent link: https://www.econbiz.de/10011635691
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Estimating probability of informed trading on the Bucharest stock exchange
Cepoi, Cosmin Octavian; Toma, Filip Mihai - In: Finance a úvěr 66 (2016) 2, pp. 140-160
Persistent link: https://www.econbiz.de/10011618713
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An unbiased computation methodology for estimating the probability of informed trading (PIN)
Ersan, Oguz; Alıcı, Aslı - In: Journal of international financial markets, … 43 (2016), pp. 74-94
Persistent link: https://www.econbiz.de/10011673499
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Market microstructure during financial crisis : dynamics of informed and heuristic-driven trading
Ormos, Mihály; Timotity, Dusán - In: Finance research letters 19 (2016), pp. 60-66
Persistent link: https://www.econbiz.de/10011657448
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Options market makers׳ hedging and informed trading: Theory and evidence
Huh, Sahn-Wook; Lin, Hao; Mello, Antonio S. - In: Journal of Financial Markets 23 (2015) C, pp. 26-58
We develop a model to analyze the effects of hedging activities by options market makers (OMMs) facing informed trading. The model suggests that OMMs׳ hedging activities motivated by adverse-selection risk lead to wider spreads in both stock and options markets. The hedging effect on spreads is...
Persistent link: https://www.econbiz.de/10011263885
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Optimal execution horizon
Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672
Persistent link: https://www.econbiz.de/10011350553
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Options market makers' hedging and informed trading : theory and evidence
Huh, Sahn-Wook; Lin, Hao; Mello, António S. - In: Journal of financial markets 23 (2015), pp. 26-58
Persistent link: https://www.econbiz.de/10011377487
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Learning, information processing and order submission in limit order markets
Chiarella, Carl; He, Xue-zhong; Wei, Lijian - In: Journal of economic dynamics & control 61 (2015), pp. 245-268
Persistent link: https://www.econbiz.de/10011589535
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