BIROn - Birkbeck Institutional Research Online

    Probability of informed trading and volatility for an ETF

    Karyampas, Dimitrios and Paiardini, Paola (2011) Probability of informed trading and volatility for an ETF. Working Paper. Birkbeck College, University of London, London, UK.

    [img]
    Preview
    Text
    7507.pdf - Published Version

    Download (669kB) | Preview

    Abstract

    We use the new procedure developed by Easley et al. to estimate the Probability of Informed Trading (PIN), based on the volume imbalance: Volume-Synchronized Probability of Informed Trading (VPIN). Unlike the previous method, this one does not require the use of numerical methods to estimate unobservable parameters. We also relate the VPIN metric to volatility measures. However, we use most efficient estimators of volatility which consider the number of jumps. Moreover, we add the VPIN to a Heterogeneous Autoregressive model of Realized Volatility to further investigate its relation with volatility. For the empirical analysis we use data on the exchange traded fund (SPY).

    Metadata

    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 1101
    Keyword(s) / Subject(s): Market Microstructure, Probability of Informed Trading, VPIN, Jumps
    School: Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Administrator
    Date Deposited: 20 Jun 2013 09:26
    Last Modified: 11 Oct 2016 12:01
    URI: http://eprints.bbk.ac.uk/id/eprint/7507

    Statistics

    Downloads
    Activity Overview
    167Downloads
    172Hits

    Additional statistics are available via IRStats2.

    Archive Staff Only (login required)

    Edit/View Item Edit/View Item