Using high-frequency transaction data to estimate the probability of informed trading
Ministry of Education, Singapore under its Academic Research Funding Tier
autoregressive conditional duration, market microstructure, probability of informed trading, transaction data, Weibull distribution, Basic or Discovery Scholarship, Econometrics, Finance, Finance and Financial Management, Finance; Econometrics
Publisher: 'Oxford University Press (OUP)'
DOI identifier: 10.1093/jjfinec/nbp005