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首页> 外文期刊>Review of quantitative finance and accounting >A PIN per day shows what news convey: the intraday probability of informed trading
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A PIN per day shows what news convey: the intraday probability of informed trading

机译：每天的PIN会显示新闻传达的内容：知情交易的当日概率

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This paper develops a new intraday estimation procedure for the sequential microstructure trading model initially proposed by Easley et al. (Rev Financ Stud 10:805-835, 1997a). Using a full year of intraday trading data for the top 100 German stocks, we demonstrate how the new estimation procedure eliminates or significantly reduces the shortcomings of the original approach in recent, high-frequency trading environments. We slice a trading day in buckets of several minutes' length to obtain one estimate of the composite variable probability of informed trading (PIN) per day. This approach makes PIN applicable in short horizon event studies. Convergence rates are above 95 % even for the most liquid stocks and the model's underlying assumptions of independence for the arrival of traders and information events are fulfilled to a much higher degree than in the original approach. An empirical application in an event study type setting demonstrates how official announcements stipulated in German insider trading legislation significantly reduce information asymmetry upon public disclosure.
机译：本文为Easley等人最初提出的顺序微观结构交易模型开发了一种新的日内估计程序。 （Rev Financ Stud 10：805-835，1997a）。通过使用整整一年的德国前100名股票的日内交易数据，我们证明了新的估算程序如何消除或显着减少了最近高频交易环境中原始方法的缺点。我们将交易日切成数分钟长的时段，以获取对每天知情交易（PIN）的复合变量概率的一个估计。这种方法使PIN适用于短时事件研究。即使对于大多数流动性股票，收敛率也高于95％，并且该模型对交易者到来和信息事件到来的独立性的基本假设要比原始方法具有更高的程度。事件研究类型设置中的经验应用表明，德国内部交易法规中的官方公告如何显着减少公开披露后的信息不对称。

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