Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading
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Cited by:
- Gkillas, Konstantinos & Gupta, Rangan & Pierdzioch, Christian, 2020.
"Forecasting realized oil-price volatility: The role of financial stress and asymmetric loss,"
Journal of International Money and Finance, Elsevier, vol. 104(C).
- Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Forecasting Realized Oil-Price Volatility: The Role of Financial Stress and Asymmetric Loss," Working Papers 201903, University of Pretoria, Department of Economics.
- Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019.
"Futures-based forecasts: How useful are they for oil price volatility forecasting?,"
Energy Economics, Elsevier, vol. 81(C), pages 639-649.
- Chatziantoniou, Ioannis & Degiannakis, Stavros & Filis, George, 2019. "Futures-based forecasts: How useful are they for oil price volatility forecasting?," MPRA Paper 96446, University Library of Munich, Germany.
- Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2022.
"Risk aversion and the predictability of crude oil market volatility: A forecasting experiment with random forests,"
Journal of the Operational Research Society, Taylor & Francis Journals, vol. 73(8), pages 1755-1767, August.
- Riza Demirer & Konstantinos Gkillas & Rangan Gupta & Christian Pierdzioch, 2019. "Risk Aversion and the Predictability of Crude Oil Market Volatility: A Forecasting Experiment with Random Forests," Working Papers 201972, University of Pretoria, Department of Economics.
- 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.
- Ping-Chen Tsai & Chi-Ming Tsai, 2021. "Estimating the proportion of informed and speculative traders in financial markets: evidence from exchange rate," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 16(3), pages 443-470, July.
- Moonsoo Kang & Kiseok Nam, 2015. "Informed trade and idiosyncratic return variation," Review of Quantitative Finance and Accounting, Springer, vol. 44(3), pages 551-572, April.
- Pérez-Rodríguez, Jorge V. & Sosvilla-Rivero, Simón & Andrada-Felix, Julián & Gómez-Déniz, Emilio, 2022. "Searching for informed traders in stock markets: The case of Banco Popular," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
- Degiannakis, Stavros & Filis, George, 2017.
"Forecasting oil price realized volatility using information channels from other asset classes,"
Journal of International Money and Finance, Elsevier, vol. 76(C), pages 28-49.
- Degiannakis, Stavros & Filis, George, 2017. "Forecasting oil price realized volatility using information channels from other asset classes," MPRA Paper 96276, University Library of Munich, Germany.
- Agudelo, Diego A. & Giraldo, Santiago & Villarraga, Edwin, 2015. "Does PIN measure information? Informed trading effects on returns and liquidity in six emerging markets," International Review of Economics & Finance, Elsevier, vol. 39(C), pages 149-161.
- Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
- Man Jin & Shunan Zhao & Subal C. Kumbhakar, 2020. "Information asymmetry and leverage adjustments: a semiparametric varying‐coefficient approach," Journal of the Royal Statistical Society Series A, Royal Statistical Society, vol. 183(2), pages 581-605, February.
- Degiannakis, Stavros & Filis, George, 2016. "Forecasting oil price realized volatility: A new approach," MPRA Paper 69105, University Library of Munich, Germany.
- Hahn, TeWhan & Ligon, James A. & Rhodes, Heather, 2013. "Liquidity and initial public offering underpricing," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 4973-4988.
- Man Jin & Huiting Tian & Subal C. Kumbhakar, 2020. "How to survive and compete: the impact of information asymmetry on productivity," Journal of Productivity Analysis, Springer, vol. 53(1), pages 107-123, February.
- Petchey, James & Wee, Marvin & Yang, Joey, 2016. "Pinning down an effective measure for probability of informed trading," Pacific-Basin Finance Journal, Elsevier, vol. 40(PB), pages 456-475.
- Degiannakis, Stavros & Filis, George, 2022.
"Oil price volatility forecasts: What do investors need to know?,"
Journal of International Money and Finance, Elsevier, vol. 123(C).
- Degiannakis, Stavros & Filis, George, 2019. "Oil price volatility forecasts: What do investors need to know?," MPRA Paper 94445, University Library of Munich, Germany.
- Cosmin Octavian Cepoi & Victor Dragotă & Ruxandra Trifan & Andreea Iordache, 2023. "Probability of informed trading during the COVID-19 pandemic: the case of the Romanian stock market," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-27, December.
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