The Probability of Informed Trading Based on VAR Model

Author

Xu, Min ; Liu, Shancun

Author_Institution

Sch. of Econ. & Manage., Beihang Univ., Beijing, China

fYear

2009

fDate

24-26 July 2009

Firstpage

750

Lastpage

753

Abstract

The paper researches the representative variable of the probability of informed trading, selecting CCER high-frequency trading data of Shanghai stock exchange from 2003.7.1 to 2003.12.31, adopting VAR model. Different from previous studies, the paper firstly accounts for the dynamic relationship between trade and price. Then, the content of information in trading volume, duration and trading direction are considered in our model. Finally, it gets the probability of informed trading and analyzes this variable. The results show: the probability of informed trading is about 0.172713; the more asymmetric information is, the larger spread is; the probability of informed trading is the well-known U-shape; it is the biggest before the announcement.

Keywords

probability; stock markets; Shanghai stock exchange; VAR model; informed trading probability; intraday pattern; Conference management; Data engineering; Engineering management; Finance; Financial management; IEEE news; Predictive models; Reactive power; Stock markets; Volume measurement; announcement; informed trader; intraday pattern; probability of informed trading; spread;

fLanguage

English

Publisher

ieee

Conference_Titel

Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on

Conference_Location

Beijing

Print_ISBN

978-0-7695-3705-4

Type

conf

DOI

10.1109/BIFE.2009.173

Filename

5208749