PREVE, DANIEL; Tse, Yiu-Kuen - School of Economics, Singapore Management University - 2012
Recently Duarte and Young (2009) study the probability of informed trading (PIN) proposed by Easley et al.(2002) and decompose it into two parts: the adjusted PIN (APIN) as a measure of asymmetric information and the probability of symmetric order- ow shock (PSOS) as a measure of illiquidity....
