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Using high-frequency transaction data to estimate the probability of informed trading

By Anthony S. TAY, Christopher TING, Yiu Kuen TSE and Mitchell WARACHKA

Abstract

Ministry of Education, Singapore under its Academic Research Funding Tier

Topics: 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)'
Year: 2009
DOI identifier: 10.1093/jjfinec/nbp005
OAI identifier: oai:ink.library.smu.edu.sg:soe_research-1518

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