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| Zaichao Du |
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| ''Intraday probability of informed trading'' |
| ( 2011, Vol. 31 No.4 ) |
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| 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. |
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| Keywords: Probability of informed trading, Market microstructure |
JEL:
C5 - Econometric Modeling: General |
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| Manuscript Received : Aug 23 2011 | | Manuscript Accepted : Nov 09 2011 |
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