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Karyampas et al., 2011 - Google Patents

Probability of Informed Trading and Volatility for an ETF

Karyampas et al., 2011

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Document ID
7068485013052002813
Author
Karyampas D
Paiardini P
Publication year

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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 …
Continue reading at eprints.bbk.ac.uk (PDF) (other versions)

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