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A new PIN model with application of the change-point detection method

Author

Listed:
  • Chu-Lan Michael Kao

    (National Yang Ming Chiao-Tung University)

  • Emily Lin

    (St. John’s University)

Abstract

The existing PIN models impose a restriction on the number of possible intensity pairs. However, our investigation shows that the number of empirical intensity pairs is significantly more than the one these models assume, and this number changes daily. Therefore, we propose a new model which, by using the change-point detection technique, can adjust this number according to the data. The model also considers autocorrelation, which is lacking in the existing PIN models. In addition, we show that the proposed model can examine how public information transfers to individual stock price and quantify transfer delay.

Suggested Citation

  • Chu-Lan Michael Kao & Emily Lin, 2023. "A new PIN model with application of the change-point detection method," Review of Quantitative Finance and Accounting, Springer, vol. 61(4), pages 1513-1528, November.
    • Handle: RePEc:kap:rqfnac:v:61:y:2023:i:4:d:10.1007_s11156-023-01194-9
    DOI: 10.1007/s11156-023-01194-9
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    References listed on IDEAS

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    More about this item

    Keywords

    Probability of informed trading (PIN); Change-point detection technique; Information transfer delay;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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