Cluster PIN: A New Estimation Method for the Probability of Informed Trading

SSRN Electronic Journal ◽

10.2139/ssrn.2363814 ◽

2013 ◽

Author(s):

Quan Gan ◽

David James Johnstone ◽

Wang Chun Wei

Keyword(s):

Estimation Method ◽

Informed Trading ◽

Probability Of Informed Trading

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A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering

Quantitative Finance ◽

10.1080/14697688.2015.1023336 ◽

2015 ◽

Vol 15 (11) ◽

pp. 1805-1821 ◽

Cited By ~ 10

Author(s):

Quan Gan ◽

Wang Chun Wei ◽

David Johnstone

Keyword(s):

Estimation Method ◽

Informed Trading ◽

Agglomerative Clustering ◽

Hierarchical Agglomerative Clustering ◽

Probability Of Informed Trading

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An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading

SSRN Electronic Journal ◽

10.2139/ssrn.890486 ◽

2010 ◽

Cited By ~ 3

Author(s):

Yuxing Yan ◽

Shaojun Zhang

Keyword(s):

Estimation Method ◽

Informed Trading ◽

Probability Of Informed Trading

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A New Estimation Method of the Probability of Informed Trading

The 19th International Conference on Industrial Engineering and Engineering Management ◽

10.1007/978-3-642-38433-2_1 ◽

2013 ◽

pp. 1-10

Author(s):

Chun-lian Xiong ◽

Hua-gui Duan

Keyword(s):

Estimation Method ◽

Informed Trading ◽

Probability Of Informed Trading

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

Journal of Banking & Finance ◽

10.1016/j.jbankfin.2011.08.003 ◽

2012 ◽

Vol 36 (2) ◽

pp. 454-467 ◽

Cited By ~ 56

Author(s):

Yuxing Yan ◽

Shaojun Zhang

Keyword(s):

Estimation Method ◽

Informed Trading ◽

Probability Of Informed Trading

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A New Method to Estimate PIN (Probability of Informed Trading)

SSRN Electronic Journal ◽

10.2139/ssrn.1361921 ◽

2009 ◽

Cited By ~ 1

Author(s):

Yuxing Yan

Keyword(s):

Informed Trading ◽

New Method ◽

Probability Of Informed Trading

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A dynamic intraday measure of the probability of informed trading and firm-specific return variation

Journal of Empirical Finance ◽

10.1016/j.jempfin.2014.02.003 ◽

2014 ◽

Vol 29 ◽

pp. 80-94 ◽

Cited By ~ 14

Author(s):

Sanders S. Chang ◽

Lenisa V. Chang ◽

F. Albert Wang

Keyword(s):

Informed Trading ◽

Probability Of Informed Trading

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The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading

The Journal of Portfolio Management ◽

10.3905/jpm.2011.37.2.118 ◽

2011 ◽

Vol 37 (2) ◽

pp. 118-128 ◽

Cited By ~ 218

Author(s):

David Easley ◽

Marcos M. López de Prado ◽

Maureen O’Hara

Keyword(s):

Informed Trading ◽

Flash Crash ◽

Probability Of Informed Trading

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Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

SSRN Electronic Journal ◽

10.2139/ssrn.367041 ◽

2003 ◽

Cited By ~ 2

Author(s):

Joachim Grammig ◽

Erik Theissen

Keyword(s):

Informed Trading ◽

Probability Of Informed Trading

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Investor protection, adverse selection, and the probability of informed trading

Review of Quantitative Finance and Accounting ◽

10.1007/s11156-007-0049-4 ◽

2007 ◽

Vol 30 (2) ◽

pp. 111-131 ◽

Cited By ~ 9

Author(s):

Paul Brockman ◽

Dennis Y. Chung

Keyword(s):

Adverse Selection ◽

Investor Protection ◽

Informed Trading ◽

Probability Of Informed Trading

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Parameter Analysis of the VPIN (Volume Synchronized Probability of Informed Trading) Metric

SSRN Electronic Journal ◽

10.2139/ssrn.2427086 ◽

2014 ◽

Author(s):

Jung Heon Song ◽

Kesheng Wu ◽

Horst D Simon

Keyword(s):

Informed Trading ◽

Parameter Analysis ◽

Probability Of Informed Trading

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