Tay, Anthony; Ting, Christopher; Tse, Yiu Kuen; … - In: Journal of Financial Econometrics 7 (2009) 3, pp. 288-311
This paper applies the asymmetric autoregressive conditional duration (AACD) model of Bauwens and Giot (2003) to estimate the probability of informed trading (PIN) using irregularly spaced transaction data. We model trade direction (buy versus sell orders) and the duration between trades...