A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering

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ISBN 13 :
Total Pages : 33 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering by : Quan Gan

Download or read book A Faster Estimation Method for the Probability of Informed Trading Using Hierarchical Agglomerative Clustering written by Quan Gan and published by . This book was released on 2015 with total page 33 pages. Available in PDF, EPUB and Kindle. Book excerpt: The probability of informed trading (PIN) is a commonly used market microstructure measure for detecting the level of information asymmetry. Estimating PIN can be problematic due to corner solutions, local maxima and floating point exceptions (FPE). Yan and Zhang (2012) show that whilst factorization can solve FPE, boundary solutions appear frequently in maximum likelihood estimation for PIN. A grid search initial value algorithm is suggested to overcome this problem. We present a faster method for reducing the likelihood of boundary solutions and local maxima based on hierarchical agglomerative clustering (HAC). We show that HAC can be used to determine an accurate and fast starting value approximation for PIN. This assists the maximum likelihood estimation process in both speed and accuracy.

Estimating the Probability of Informed Trading

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Estimating the Probability of Informed Trading by : Ken Nyholm

Download or read book Estimating the Probability of Informed Trading written by Ken Nyholm and published by . This book was released on 2001 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Using a new empirical model, I estimate the probability of trades being generated by privately informed traders. Inference is drawn on a trade-by-trade basis using data samples from the New York Stock Exchange (NYSE). The modeling setup facilitates in-depth analysis of the estimated probability of informed trading at the intraday level and for stocks with different levels of trading activity. The most important empirical results are: (a) the intradaily pattern of the inferred probability of informed trading is highly correlated with the intradaily pattern of observed quoted spreads, (b) differences in the magnitude of quoted spreads across volume categories are not exclusively related to differences in the level of informed trading, and (c) private information is incorporated faster in the quotes for high-volume stocks than in the quotes for low-volume stocks.

An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading

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ISBN 13 :
Total Pages : 45 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading by : Yuxing Yan

Download or read book An Improved Estimation Method and Empirical Properties of the Probability of Informed Trading written by Yuxing Yan and published by . This book was released on 2011 with total page 45 pages. Available in PDF, EPUB and Kindle. Book excerpt: We propose a method to overcome a bias in the estimate of the probability of informed trading (PIN). This bias arises when the numerical maximization procedure generates corner solutions. We analyze the PIN estimates for about 80,000 stock-quarter pairs between 1993 and 2004, and observe a decreasing trend in PIN over this time period. The decimalization in January 2001 appears to accelerate this trend; the quarterly median PIN across stocks decreased by 20% since the first quarter of 2001 until the end of 2004. This provides direct evidence that the risk of trading against informed traders has reduced in recent years. We also find that the risk of informed trading is lower in the first quarter of a year than in the previous fourth quarter, especially for stocks whose price has gone up in previous year.

Measuring the Probability of Informed Trading in an Order-Driven Auction Market and a Comprehensive Analysis on the Determinants of Informed Trading

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ISBN 13 :
Total Pages : 36 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Measuring the Probability of Informed Trading in an Order-Driven Auction Market and a Comprehensive Analysis on the Determinants of Informed Trading by : Tai Ma

Download or read book Measuring the Probability of Informed Trading in an Order-Driven Auction Market and a Comprehensive Analysis on the Determinants of Informed Trading written by Tai Ma and published by . This book was released on 2004 with total page 36 pages. Available in PDF, EPUB and Kindle. Book excerpt: In this study, we are able to estimate the probability of informed trading on a transactional basis, which makes the hitherto difficult task of examining the transactional dynamics between informed trading, market depth and spread feasible. In addition, we have integrated the determinants of informed trading by a comprehensive analysis.We find that, as informed traders arrive, current volume and spread increase. This supports the clustering of trading hypothesis and provides empirical evidence to Admati and Pfleiderer (1988) viewpoint that both volatility and volume increase with informed trading. The VAR result suggests that uninformed traders avoid trading with the informed, and the decision of the uninformed depends on previous condition. The decision of the informed is based more on current situation and is attracted by price volatility.Overall, it is clear that the ultimate determinants of informed trading lies with the firm's financial quality and ownership structure. The condition of the market influences the timing of the informed trading, rather than the level of informed trading between firms.

Measuring the Probability of Informed Trading

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ISBN 13 :
Total Pages : 26 pages
Book Rating : 4.:/5 (766 download)

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Book Synopsis Measuring the Probability of Informed Trading by : Harald Henke

Download or read book Measuring the Probability of Informed Trading written by Harald Henke and published by . This book was released on 2004 with total page 26 pages. Available in PDF, EPUB and Kindle. Book excerpt:

Extending the EKOP Model to Estimate the Probability of Informed Trading

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ISBN 13 :
Total Pages : pages
Book Rating : 4.:/5 (799 download)

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Book Synopsis Extending the EKOP Model to Estimate the Probability of Informed Trading by : J. H. Venter

Download or read book Extending the EKOP Model to Estimate the Probability of Informed Trading written by J. H. Venter and published by . This book was released on 2004 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: Navorsingsprogram: Bedryfswiskunde en Informatika = Research Programme: Business Mathematics and Informatics.

Multilayer Probability of Informed Trading

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ISBN 13 :
Total Pages : 75 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Multilayer Probability of Informed Trading by : Oguz Ersan

Download or read book Multilayer Probability of Informed Trading written by Oguz Ersan and published by . This book was released on 2017 with total page 75 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper demonstrates the multilayer structure of information in financial markets. While only 3.59% of 8,190 stock/quarter pairs have single information layer, 75% have two to five layers and 18% have six to eight layers. We develop a clustering algorithm which determines the number of information layers with the accuracy rates between 95% and 97% in simulated datasets. We propose a multilayer informed trading measure, MPIN by extending the original model of Easley et al. (1996). Respective solutions for computational problems regarding MPIN estimation are also provided. PIN model's estimates on informed trading and five intermediate parameters are heavily biased for datasets with multiple information layers, while MPIN model consistently provides accurate estimates. When compared to PIN, MPIN yields substantially higher probabilities of informed trading and information event occurrence; much lower rate of informed traders for real stock/quarter pairs. We obtain daily posterior multilayer probabilities conditional on the quarterly estimates of MPIN model. Posterior probabilities derived from MPIN model are approximately two fold when compared to the ones from PIN model surrounding earnings announcements.

Reducing the Impact of Trade Misclassification on Estimating the Probability of Informed Trading

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ISBN 13 :
Total Pages : 40 pages
Book Rating : 4.:/5 (13 download)

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Book Synopsis Reducing the Impact of Trade Misclassification on Estimating the Probability of Informed Trading by : Wen-Chyan Ke

Download or read book Reducing the Impact of Trade Misclassification on Estimating the Probability of Informed Trading written by Wen-Chyan Ke and published by . This book was released on 2013 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: This study adds to the literature on estimating the probability of informed trading (PIN), which interests market microstructure empiricists, by proposing the q-adjustment to the process of estimating PIN. Due to challenges in accessing the data necessary for distinguishing between buyer- and seller-initiated transactions, prior studies commonly rely on trade classification algorithms. However, these algorithms result in misclassification and, as a result, the PIN may be underestimated. Specifically, this study shows that an underestimated PIN leads to a spuriously large slope coefficient but a low adjusted R-squared for the regression of opening bid-ask spread on the PIN and that both trade misclassification and PIN estimation error become more serious for recent-year data. The authors find that the q-adjustment is appropriate for all extended PIN models and is effective in both simulated and historical data. In addition, the q-adjustment outperforms the existing remedies across longer time spans.

Estimating the Probability of Informed Trading - Does Trade Misclassification Matter?

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ISBN 13 :
Total Pages : 39 pages
Book Rating : 4.:/5 (129 download)

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Book Synopsis Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? by : Ekkehart Boehmer

Download or read book Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? written by Ekkehart Boehmer and published by . This book was released on 2006 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: Easley et al. (1996) have proposed an empirical methodology to estimate the probability of informed trading (PIN). This approach has been employed in a wide range of applications in market microstructure, corporate finance, and asset pricing. To estimate the model, a researcher only needs the number of buyer- and seller-initiated trades. This information, however, is generally unobservable and has to be inferred from trade-classification algorithms, which are known to be inaccurate. In this paper, we show analytically that inaccurate trade classification leads to downward biased PIN estimates and that the magnitude of the bias is related to a security's trading intensity. Simulation results and empirical evidence based on order and transaction data from the New York Stock Exchange are consistent with this argument. We propose a data-based adjustment procedure that substantially reduces the misclassification bias.

Market Liquidity

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Publisher : Oxford University Press
ISBN 13 : 0197542069
Total Pages : 531 pages
Book Rating : 4.1/5 (975 download)

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Book Synopsis Market Liquidity by : Thierry Foucault

Download or read book Market Liquidity written by Thierry Foucault and published by Oxford University Press. This book was released on 2023 with total page 531 pages. Available in PDF, EPUB and Kindle. Book excerpt: "The process by which securities are traded is very different from the idealized picture of a frictionless and self-equilibrating market offered by the typical finance textbook. This book offers a more accurate and authoritative take on this process. The book starts from the assumption that not everyone is present at all times simultaneously on the market, and that participants have quite diverse information about the security's fundamentals. As a result, the order flow is a complex mix of information and noise, and a consensus price only emerges gradually over time as the trading process evolves and the participants interpret the actions of other traders. Thus, a security's actual transaction price may deviate from its fundamental value, as it would be assessed by a fully informed set of investors. The book takes these deviations seriously, and explains why and how they emerge in the trading process and are eventually eliminated. The authors draw on a vast body of theoretical insights and empirical findings on security price formation that have come to form a well-defined field within financial economics known as "market microstructure." Focusing on liquidity and price discovery, the book analyzes the tension between the two, pointing out that when price-relevant information reaches the market through trading pressure rather than through a public announcement, liquidity may suffer. It also confronts many striking phenomena in securities markets and uses the analytical tools and empirical methods of market microstructure to understand them. These include issues such as why liquidity changes over time and differs across securities, why large trades move prices up or down, and why these price changes are subsequently reversed, and why we observe temporary deviations from asset fair values"--

Mining of Massive Datasets

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Publisher : Cambridge University Press
ISBN 13 : 1107077230
Total Pages : 480 pages
Book Rating : 4.1/5 (7 download)

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Book Synopsis Mining of Massive Datasets by : Jure Leskovec

Download or read book Mining of Massive Datasets written by Jure Leskovec and published by Cambridge University Press. This book was released on 2014-11-13 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: Now in its second edition, this book focuses on practical algorithms for mining data from even the largest datasets.

Text Analytics with Python

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Publisher : Apress
ISBN 13 : 1484223888
Total Pages : 397 pages
Book Rating : 4.4/5 (842 download)

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Book Synopsis Text Analytics with Python by : Dipanjan Sarkar

Download or read book Text Analytics with Python written by Dipanjan Sarkar and published by Apress. This book was released on 2016-11-30 with total page 397 pages. Available in PDF, EPUB and Kindle. Book excerpt: Derive useful insights from your data using Python. You will learn both basic and advanced concepts, including text and language syntax, structure, and semantics. You will focus on algorithms and techniques, such as text classification, clustering, topic modeling, and text summarization. Text Analytics with Python teaches you the techniques related to natural language processing and text analytics, and you will gain the skills to know which technique is best suited to solve a particular problem. You will look at each technique and algorithm with both a bird's eye view to understand how it can be used as well as with a microscopic view to understand the mathematical concepts and to implement them to solve your own problems. What You Will Learn: Understand the major concepts and techniques of natural language processing (NLP) and text analytics, including syntax and structure Build a text classification system to categorize news articles, analyze app or game reviews using topic modeling and text summarization, and cluster popular movie synopses and analyze the sentiment of movie reviews Implement Python and popular open source libraries in NLP and text analytics, such as the natural language toolkit (nltk), gensim, scikit-learn, spaCy and Pattern Who This Book Is For : IT professionals, analysts, developers, linguistic experts, data scientists, and anyone with a keen interest in linguistics, analytics, and generating insights from textual data

The Text Mining Handbook

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Publisher : Cambridge University Press
ISBN 13 : 0521836573
Total Pages : 423 pages
Book Rating : 4.5/5 (218 download)

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Book Synopsis The Text Mining Handbook by : Ronen Feldman

Download or read book The Text Mining Handbook written by Ronen Feldman and published by Cambridge University Press. This book was released on 2007 with total page 423 pages. Available in PDF, EPUB and Kindle. Book excerpt: Publisher description

Recommender Systems Handbook

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Publisher : Springer
ISBN 13 : 148997637X
Total Pages : 1008 pages
Book Rating : 4.4/5 (899 download)

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Book Synopsis Recommender Systems Handbook by : Francesco Ricci

Download or read book Recommender Systems Handbook written by Francesco Ricci and published by Springer. This book was released on 2015-11-17 with total page 1008 pages. Available in PDF, EPUB and Kindle. Book excerpt: This second edition of a well-received text, with 20 new chapters, presents a coherent and unified repository of recommender systems’ major concepts, theories, methodologies, trends, and challenges. A variety of real-world applications and detailed case studies are included. In addition to wholesale revision of the existing chapters, this edition includes new topics including: decision making and recommender systems, reciprocal recommender systems, recommender systems in social networks, mobile recommender systems, explanations for recommender systems, music recommender systems, cross-domain recommendations, privacy in recommender systems, and semantic-based recommender systems. This multi-disciplinary handbook involves world-wide experts from diverse fields such as artificial intelligence, human-computer interaction, information retrieval, data mining, mathematics, statistics, adaptive user interfaces, decision support systems, psychology, marketing, and consumer behavior. Theoreticians and practitioners from these fields will find this reference to be an invaluable source of ideas, methods and techniques for developing more efficient, cost-effective and accurate recommender systems.

Frequent Pattern Mining

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Publisher : Springer
ISBN 13 : 3319078216
Total Pages : 480 pages
Book Rating : 4.3/5 (19 download)

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Book Synopsis Frequent Pattern Mining by : Charu C. Aggarwal

Download or read book Frequent Pattern Mining written by Charu C. Aggarwal and published by Springer. This book was released on 2014-08-29 with total page 480 pages. Available in PDF, EPUB and Kindle. Book excerpt: This comprehensive reference consists of 18 chapters from prominent researchers in the field. Each chapter is self-contained, and synthesizes one aspect of frequent pattern mining. An emphasis is placed on simplifying the content, so that students and practitioners can benefit from the book. Each chapter contains a survey describing key research on the topic, a case study and future directions. Key topics include: Pattern Growth Methods, Frequent Pattern Mining in Data Streams, Mining Graph Patterns, Big Data Frequent Pattern Mining, Algorithms for Data Clustering and more. Advanced-level students in computer science, researchers and practitioners from industry will find this book an invaluable reference.

World Development Report 2009

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Publisher : World Bank Publications
ISBN 13 : 082137608X
Total Pages : 410 pages
Book Rating : 4.8/5 (213 download)

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Book Synopsis World Development Report 2009 by : World Bank

Download or read book World Development Report 2009 written by World Bank and published by World Bank Publications. This book was released on 2008-11-04 with total page 410 pages. Available in PDF, EPUB and Kindle. Book excerpt: Rising densities of human settlements, migration and transport to reduce distances to market, and specialization and trade facilitated by fewer international divisions are central to economic development. The transformations along these three dimensions density, distance, and division are most noticeable in North America, Western Europe, and Japan, but countries in Asia and Eastern Europe are changing in ways similar in scope and speed. 'World Development Report 2009: Reshaping Economic Geography' concludes that these spatial transformations are essential, and should be encouraged. The conclusion is not without controversy. Slum-dwellers now number a billion, but the rush to cities continues. Globalization is believed to benefit many, but not the billion people living in lagging areas of developing nations. High poverty and mortality persist among the world's 'bottom billion', while others grow wealthier and live longer lives. Concern for these three billion often comes with the prescription that growth must be made spatially balanced. The WDR has a different message: economic growth is seldom balanced, and efforts to spread it out prematurely will jeopardize progress. The Report: documents how production becomes more concentrated spatially as economies grow. proposes economic integration as the principle for promoting successful spatial transformations. revisits the debates on urbanization, territorial development, and regional integration and shows how today's developers can reshape economic geography.

First Text Retrieval Conference (TREC-1)

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Publisher : DIANE Publishing
ISBN 13 : 0788125214
Total Pages : 527 pages
Book Rating : 4.7/5 (881 download)

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Book Synopsis First Text Retrieval Conference (TREC-1) by : D. K. Harman

Download or read book First Text Retrieval Conference (TREC-1) written by D. K. Harman and published by DIANE Publishing. This book was released on 1995-10 with total page 527 pages. Available in PDF, EPUB and Kindle. Book excerpt: Held in Gaithersburg, MD, Nov. 4-6, 1992. Evaluates new technologies in information retrieval. Numerous graphs, tables and charts.