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| Author: | Nyholm, K. |
| Title: | Estimating the probability of informed trading |
| Journal: | Journal of Financial Research
2002 : WINTER, VOL. 25:4, p. 485-505 |
| Index terms: | Information economics Probability Stock exchanges Trading |
| Language: | eng |
| Abstract: | The author estimates the probability of trades being generated by privately informed traders by using a new empirical model. Inference is drawn on a trade-by-trade basis using data samples from the New York Stock Exchange (NYSE). The modeling setup facilitates in-depth analysis of the estimated probability of informed trading at the intraday level and for stocks with different levels of trading activity. |
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