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Quantitative Finance · शब्दावली

Probability of informed trading क्या है?

Definition 4.9 Microstructure and Execution · अध्याय 4 — Why There Is a Spread

The probability of informed trading (PIN) of Easley, Kiefer, O’Hara and Paperman is, in their model of daily order flow, the share of trades that come from informed traders: $\mathrm{PIN}=\alpha\mu/(\alpha\mu+\varepsilon_b+\varepsilon_s)$ , where an information event occurs on a day with probability $\alpha$ , is bad news with probability $\delta$ , brings informed orders at rate $\mu$ , and uninformed buys and sells arrive at rates $\varepsilon_b$ and $\varepsilon_s$ .

Maximum-likelihood PIN on simulated samples of 250 days (mean and standard deviation over 20 samples), against the size of a common daily factor on the uninformed rates; the dashed line is the true PIN of the informed market. Data: mx_spread.pin_bias. — Figure 4.3. Maximum-likelihood PIN on simulated samples of 250 days (mean and standard deviation over 20 samples), against the size of a common daily factor on the uninformed rates; the dashed line is the true PIN of the informed market. Data: mx_spread.pin_bias.

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