The probability of informed trading measured with price impact, price reversal, and volatility

研究成果: Article査読

3 被引用数 (Scopus)

抄録

Contemporaneous and positive correlation between order flow and exchange rate is a stylized fact. I postulate that the order flow driven by informed trading has a significant price impact. I also do that little price reversal occurs in the subsequent period. The Markov-switching model provides probabilities of a significant price impact and little price reversal. I apply these probabilities to measure the probability of informed trading. The measure explains a greater share of the random walk component of price compared to other measures offered by previous studies.

本文言語English
ページ(範囲)77-90
ページ数14
ジャーナルJournal of International Financial Markets, Institutions and Money
42
DOI
出版ステータスPublished - 2016 5 1

ASJC Scopus subject areas

  • 財務
  • 経済学、計量経済学

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