Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange
Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN. Lin and Ke (2011) by using Factorization method and Yan and Zhang (2...
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| Format: | Article |
| Language: | fas |
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Allameh Tabataba'i University Press
2019-03-01
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| Series: | فصلنامه پژوهشهای اقتصادی ایران |
| Subjects: | |
| Online Access: | https://ijer.atu.ac.ir/article_10161_8f4b9523915fb000729853abf20eefba.pdf |
| _version_ | 1797369340956246016 |
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| author | reza talebloo Abas Shakeri milad rahmaniani |
| author_facet | reza talebloo Abas Shakeri milad rahmaniani |
| author_sort | reza talebloo |
| collection | DOAJ |
| description | Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN. Lin and Ke (2011) by using Factorization method and Yan and Zhang (2012) using Grid-Search based methods introduced other ways to improve the accuracy of the measurement. In this paper, we compare four different methods of PIN calculation for 206 selected companies for listed companies in Tehran Stock Exchange (TSE). We used maximum likelihood method to estimate parameters. The results show that the average of PIN for LK methodology is 0.242 and for EHO is 0.281 in our sample. Moreover, clustering Approach is faster which make it more suitable for practical applications in the real market. Comparison of standard deviation of different methods shows that Grid Search approach is more stable with lower variations in the results. |
| first_indexed | 2024-03-08T17:45:22Z |
| format | Article |
| id | doaj.art-d8581c6e3fff4b64823c76fe78a3935f |
| institution | Directory Open Access Journal |
| issn | 1726-0728 2476-6445 |
| language | fas |
| last_indexed | 2024-03-08T17:45:22Z |
| publishDate | 2019-03-01 |
| publisher | Allameh Tabataba'i University Press |
| record_format | Article |
| series | فصلنامه پژوهشهای اقتصادی ایران |
| spelling | doaj.art-d8581c6e3fff4b64823c76fe78a3935f2024-01-02T10:29:32ZfasAllameh Tabataba'i University Pressفصلنامه پژوهشهای اقتصادی ایران1726-07282476-64452019-03-01247812910.22054/ijer.2019.1016110161Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchangereza talebloo0Abas Shakeri1milad rahmaniani2Assistant Professor, Faculty of Economics, Allameh Tabataba’i UniversityProfessor Professor, Faculty of Economics, Allameh Tabataba’i UniversityPhD candidate Economics, Allameh Tabataba’i University,Easley and O'Hara (1992) introduce Probability of Informed Trading (PIN) concept to measure the degree of asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN. Lin and Ke (2011) by using Factorization method and Yan and Zhang (2012) using Grid-Search based methods introduced other ways to improve the accuracy of the measurement. In this paper, we compare four different methods of PIN calculation for 206 selected companies for listed companies in Tehran Stock Exchange (TSE). We used maximum likelihood method to estimate parameters. The results show that the average of PIN for LK methodology is 0.242 and for EHO is 0.281 in our sample. Moreover, clustering Approach is faster which make it more suitable for practical applications in the real market. Comparison of standard deviation of different methods shows that Grid Search approach is more stable with lower variations in the results.https://ijer.atu.ac.ir/article_10161_8f4b9523915fb000729853abf20eefba.pdfasymmetric informationmarket microstructureprobability of informed trading |
| spellingShingle | reza talebloo Abas Shakeri milad rahmaniani Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange فصلنامه پژوهشهای اقتصادی ایران asymmetric information market microstructure probability of informed trading |
| title | Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange |
| title_full | Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange |
| title_fullStr | Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange |
| title_full_unstemmed | Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange |
| title_short | Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange |
| title_sort | comparing different methods of estimation for probability of informed trading in tehran stock exchange |
| topic | asymmetric information market microstructure probability of informed trading |
| url | https://ijer.atu.ac.ir/article_10161_8f4b9523915fb000729853abf20eefba.pdf |
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