Futures mispricing, order imbalance, and short-selling constraints

Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets

“…2 Those early PIN models yield what we call a "static PIN", since they assume constant arrival rates of informed and uninformed trades and typically are estimated in a stockquarter basis. A numerous literature has used alternative varieties of the static PIN as a measure of information asymmetry, for example Easley, Hvidkjaer, and O'Hara (2002), Chung, Li, and McInish (2005), Vega (2006), and more recently, Chung, Elder, and Kim (2010), Chen and Zhao (2012), Lin, Lee, and Wang (2013), Sankaraguruswamy, Shen, and Yamada (2013) and Chang and Lin (2015). By construction the "static" PIN is limited to measure cross-sectional variation of informed trading, rather than time-series effects.…”

Measuring Information Asymmetry in Large Active Firms on the Tehran Stock Exchange

“…Also Easley et al (1997b) argued about information content between trades, Easley et al (1997a) about trade size, Easley et al (1998) about analyst coverage, Easley et al (2001) about stock splits, and Easley et al (2002) about asset pricing. Many studies used PIN index as proxy of information asymmetry, such as Heidle and Huang (2002), Vega (2006), Ascioglu et al (2008), Brockman andYan (2009), Kang (2010), Aslan et al (2011), Abad and Yague (2012), Chen and Zhao (2012), Dey and Radhakrishna (2015), Lin et al (2013), Sankaraguruswamy et al (2013), Chang and Lin (2015), Agudelo et al (2015) and Paparizos et al (2016).…”

Application of Poisson Mixtures in the Estimation of Probability of Informed Trading

“…Although not fully explored here, this measure allows one to measure informed order imbalance by (m b À m s )/(m b + m s ). The measure is a proxy for informed trading and is discussed in Lin et al (2013), while the relationship between PIN and arbitrage opportunity is determined in Chang and Lin (2014). Like PIN, this measure is an estimate variable, and so it is potentially subject to errors-in-variables bias.…”