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.
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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: | 28 Jul 2019 23:48 |
| URI: | http://eprints.bbk.ac.uk/id/eprint/7507 |
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