English, Article, Journal or magazine article edition: Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading Anthony Tay; Christopher Ting; Yiu Kuen Tse; ...

User activity

Share to:
 
Bookmark: http://trove.nla.gov.au/version/40254
Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Modeling Transaction Data of Trade Direction and Estimation of Probability of Informed Trading
Author
  • Anthony Tay
  • Christopher Ting
  • Yiu Kuen Tse
  • Mitch Warachka
Physical Description
  • preprint
Notes
  • This paper implements the Asymmetric Autoregressive Conditional Duration (AACD) model of Bauwens and Giot (2003) to analyze irregularly spaced transaction data of trade direction, namely buy versus sell orders. We examine the influence of lagged transaction duration, lagged volume and lagged trade direction on transaction duration and direction. Our results are applied to estimate the probability of informed trading (PIN) based on the Easley, Hvidkjaer and O’Hara (2002) framework. Unlike the Easley- Hvidkjaer-O’Hara model, which uses the daily aggregate number of buy and sell orders, the AACD model makes full use of transaction data and allows for interactions between buy and sell orders.
  • Autoregressive Conditional Duration, Market Microstructure, Probability of informed Trading, Transaction Data, Weibull Distribution
  • RePEc:siu:wpaper:13-2007
Language
  • English
Contributed by
OAIster

Get this edition

Other links

  • Set up My libraries

    How do I set up "My libraries"?

    In order to set up a list of libraries that you have access to, you must first login or sign up. Then set up a personal list of libraries from your profile page by clicking on your user name at the top right of any screen.

  • All (1)
  • Unknown (1)
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.
None of your libraries hold this item.

User activity


e.g. test cricket, Perth (WA), "Parkes, Henry"

Separate different tags with a comma. To include a comma in your tag, surround the tag with double quotes.

Be the first to add a tag for this edition

Be the first to add this to a list

Comments and reviews

What are comments? Add a comment

No user comments or reviews for this version

Add a comment