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Zaichao Du
''Intraday probability of informed trading''
( 2011, Vol. 31 No.4 )
By extending Easley, Kiefer, O'Hara and Paperman's (1996) framework to an intraday model, I empirically estimate the intraday probability of informed trading (PIN) for the 30 stocks in DJIA index. I document a U-shaped PIN pattern over the time of a day, and the consequent test validates this finding.
Keywords: Probability of informed trading, Market microstructure
C5 - Econometric Modeling: General
Manuscript Received : Aug 23 2011 Manuscript Accepted : Nov 09 2011

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