Search Results - subject:"boundary solution"

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

An improved estimation method and empirical properties of the probability of informed trading

Yan, Yuxing; Zhang, Shaojun - In: Journal of Banking & Finance 36 (2012) 2, pp. 454-467

We report evidence that boundary solutions can cause a bias in the estimate of the probability of informed trading (PIN). We develop an algorithm to overcome this bias and use it to estimate PIN for nearly 80,000 stock-quarters between 1993 and 2004. We obtain two sets of PIN estimates by using...

Persistent link: https://www.econbiz.de/10010577980

Bayesian analysis for incomplete multi-way contingency tables with nonignorable nonresponse

Park, Yousung; Choi, Bo-Seung - In: Journal of Applied Statistics 37 (2010) 9, pp. 1439-1453

boundary solution, causing the ML estimates to become unstable. To deal with such a multi-way table, we present an EM algorithm … ML regardless of occurrence of boundary solution, contrary to previous studies. The Bayesian estimates from the two new … priors are most preferable when a boundary solution occurs. We provide an illustrating example using data for a study of the …

Persistent link: https://www.econbiz.de/10008674979