We propose and estimate a model of informed trading that is a hybrid of the PIN and Kyle models. The relationships between price impacts and the estimated parameters are consistent with the model’s theoretical predictions. We compare the hybrid model estimates to PIN estimates. The probability of information events in the PIN model is negatively correlated with the hybrid model’s estimated prob...

Article history: Received 2 March 2015 Received in revised form 19 May 2015 Accepted 26 May 2015 Available online 9 June 2015 Wecombine two concepts of informed trading – contrarian trades and stealth trading – to develop proxies for the probability of informed trading. These proxies are used to test the link between informed trading and adverse selection asmeasuredbybid–ask spreads and stock i...

Prior research has shown that informed trading activity decreases the stock return volatility because trading causes stock prices to converge to fundamentals. On the contrary to existing studies, this paper documents the empirical asymmetric relation between informed trading activity and volatility. Stocks with relatively less private information are associated with lower participation of infor...

Stock prices are more informative when the information has less social value. Speculators with limited resources making costly (private) information production decisions must decide to produce information about some firms and not others. We show that producing and trading on private information is most profitable in the stocks of firms with poor corporate governance – precisely because it will ...

We propose a dynamic econometric microstructure model of trading, and we investigate how the dynamics of trades and trade composition interact with the evolution of market liquidity, market depth, and order flow. We estimate a bivariate generalized autoregressive intensity process for the arrival rates of informed and uninformed trades for 16 actively traded stocks over 15 years of transaction ...

probability of private information based trade (pin) has introduced as information risk measure. this paper is going to estimate probability of private information based trade (pin) in tehran stock exchange using microstructure models. our results show that pin is significantly different from zero for tehran stock exchange.