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

被引：0
作者：
Chu-Lan Michael Kao
Emily Lin
机构：
[1] National Yang Ming Chiao-Tung University,
[2] St. John’s University,undefined
来源：
Review of Quantitative Finance and Accounting | 2023年 / 61卷
关键词：
Probability of informed trading (PIN); Change-point detection technique; Information transfer delay; G14;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
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.
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页码：1513 / 1528
页数：15
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