Title :
The Probability of Informed Trading Based on VAR Model
Author :
Xu, Min ; Liu, Shancun
Author_Institution :
Sch. of Econ. & Manage., Beihang Univ., Beijing, China
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;
Conference_Titel :
Business Intelligence and Financial Engineering, 2009. BIFE '09. International Conference on
Conference_Location :
Beijing
Print_ISBN :
978-0-7695-3705-4
DOI :
10.1109/BIFE.2009.173
