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    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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    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).


    Item Type: Monograph (Working Paper)
    Additional Information: BWPEF 1101
    Keyword(s) / Subject(s): Market Microstructure, Probability of Informed Trading, VPIN, Jumps
    School: Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
    Depositing User: Administrator
    Date Deposited: 20 Jun 2013 09:26
    Last Modified: 02 Aug 2023 17:05


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