Identifying Information Types in the Estimation of Informed Trading: An Improved Algorithm
Oguz Ersan,
Montasser Ghachem
Abstract:The growing frequency of news arrivals, partly fueled by the proliferation of data sources, has made the assumptions of the classical probability of informed trading (PIN) model outdated. In particular, the model’s assumption of a single type of information event no longer reflects the complexity of modern financial markets, making the accurate detection of information types (layers) crucial for estimating the probability of informed trading. We propose a layer detection algorithm to accurately find the number… Show more
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