Estimating Probability of Private Information Based Trade Using Microstructure Model
Probability of Private information Based Trade (PIN) has introduced as information risk measure. This paper is going to estimate probability of private information based trade (PIN) in Tehran Stock Exchange using microstructure models. Our results show that PIN is significantly different from zero f...
| Main Authors: | , , |
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| Format: | Article |
| Language: | fas |
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University of Tehran
2013-08-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_35430_1e3a2e131ce6b40295e80a8dcfd82d14.pdf |
| _version_ | 1811339999879102464 |
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| author | Reza Raee Shapour Mohammadi Reza Eyvazlu |
| author_facet | Reza Raee Shapour Mohammadi Reza Eyvazlu |
| author_sort | Reza Raee |
| collection | DOAJ |
| description | Probability of Private information Based Trade (PIN) has introduced as information risk measure. This paper is going to estimate probability of private information based trade (PIN) in Tehran Stock Exchange using microstructure models. Our results show that PIN is significantly different from zero for Tehran Stock Exchange. |
| first_indexed | 2024-04-13T18:34:49Z |
| format | Article |
| id | doaj.art-11732b3182734578b97aeafb1c7b8204 |
| institution | Directory Open Access Journal |
| issn | 1024-8153 2423-5377 |
| language | fas |
| last_indexed | 2024-04-13T18:34:49Z |
| publishDate | 2013-08-01 |
| publisher | University of Tehran |
| record_format | Article |
| series | تحقیقات مالی |
| spelling | doaj.art-11732b3182734578b97aeafb1c7b82042022-12-22T02:34:54ZfasUniversity of Tehranتحقیقات مالی1024-81532423-53772013-08-01151172810.22059/jfr.2013.3543035430Estimating Probability of Private Information Based Trade Using Microstructure ModelReza Raee0Shapour Mohammadi1Reza Eyvazlu2Associate Prof., Faculty of Management University of Tehran, IranAssociate Prof., Faculty of Management University of Tehran, IranPh.D., Student, Faculty of Management University of Tehran, IranProbability of Private information Based Trade (PIN) has introduced as information risk measure. This paper is going to estimate probability of private information based trade (PIN) in Tehran Stock Exchange using microstructure models. Our results show that PIN is significantly different from zero for Tehran Stock Exchange.https://jfr.ut.ac.ir/article_35430_1e3a2e131ce6b40295e80a8dcfd82d14.pdfinformation-based tradepininformation based models and market microstructure |
| spellingShingle | Reza Raee Shapour Mohammadi Reza Eyvazlu Estimating Probability of Private Information Based Trade Using Microstructure Model تحقیقات مالی information-based trade pin information based models and market microstructure |
| title | Estimating Probability of Private Information Based Trade Using Microstructure Model |
| title_full | Estimating Probability of Private Information Based Trade Using Microstructure Model |
| title_fullStr | Estimating Probability of Private Information Based Trade Using Microstructure Model |
| title_full_unstemmed | Estimating Probability of Private Information Based Trade Using Microstructure Model |
| title_short | Estimating Probability of Private Information Based Trade Using Microstructure Model |
| title_sort | estimating probability of private information based trade using microstructure model |
| topic | information-based trade pin information based models and market microstructure |
| url | https://jfr.ut.ac.ir/article_35430_1e3a2e131ce6b40295e80a8dcfd82d14.pdf |
| work_keys_str_mv | AT rezaraee estimatingprobabilityofprivateinformationbasedtradeusingmicrostructuremodel AT shapourmohammadi estimatingprobabilityofprivateinformationbasedtradeusingmicrostructuremodel AT rezaeyvazlu estimatingprobabilityofprivateinformationbasedtradeusingmicrostructuremodel |