Improved Estimation Methods of the Probability of Informed Trading (PIN)

摘要：

As a direct measurement of information asymmetry among investors,PIN research has become the popular area in financial research.However,due to the localness of software optimization algorithm and the uncontinuity of likelihood function,there are some problems in PIN estimation,such as dependence on initial value and corner solution.These problems could induce inaccuracy of PIN estimation.This paper proposes two methods to help solving the problem and make the PIN estimation more accurate: initial value exhaustion method and Monte-Carlo method.

关键词： PIN financial market microstructure Monte-Carlo method information asymmetry optimization

作者: ZHENG Junyan

作者单位: Department of Economics and Management,Beihang University,Beijing,100083

会议类型: 国际会议

会议名称: 2007 International Conference on Management Science and Engineering(2007管理科学与工程国际学术会议)

会议地点: 河南焦作

会议语种:英文

页码: 1978-1981

在线出版日期: 2007-08-20（万方平台首次上网日期，不代表论文的发表时间）