The probability of informed trading measured with price impact, price reversal, and volatility

被引：5

作者：

Kitamura, Yoshihiro ^{[1
]}

机构：

[1] Waseda Univ, Sch Social Sci, Shinjuku Ku, 1-6-1 Nishi Waseda, Tokyo 1698050, Japan

来源：

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY | 2016年 / 42卷

关键词：

Exchange rates; High-frequency data; Informed trading; Markov-switching model; PRIVATE INFORMATION; INTRADAY PATTERNS; LIQUIDITY RISK; ORDER FLOW; EXCHANGE; VOLUME; TRADES; PIN; DISCOVERY; TIME;

D O I：

10.1016/j.intfin.2016.02.001

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Contemporaneous and positive correlation between order flow and exchange rate is a stylized fact. I postulate that the order flow driven by informed trading has a significant price impact. I also do that little price reversal occurs in the subsequent period. The Markov-switching model provides probabilities of a significant price impact and little price reversal. I apply these probabilities to measure the probability of informed trading. The measure explains a greater share of the random walk component of price compared to other measures offered by previous studies. (C) 2016 Elsevier B.V. All rights reserved.

引用

页码：77 / 90

页数：14

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