Application of Poisson Mixtures in the Estimation of Probability of Informed Trading
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Publisher
Springer New York
Link
http://link.springer.com/content/pdf/10.1007/978-1-4614-7750-1_96
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3. Bollen, N. P., Smith, T., & Whaley, R. E. (2004). Modeling the bid/ask spread: Measuring the inventory-holding premium. Journal of Financial Economics, 72, 97–141.
4. Bookstein, A., & Swanson, D. (1974). Probabilistic models for automatic indexing. Journal of the American Society for Information Science, 25(5), 312–318.
5. Brennan, M. J., & Subrahmanyam, A. (1996). Market microstructure and asset pricing: On the compensation for illiquidity in stock returns. Journal of Financial Economics, 41, 441–464.
Cited by 3 articles. 订阅此论文施引文献 订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献
1. Probability of Informed No-Tradings: A Copula-Based PIN Model with Zero-Inflated Poisson Distributions;ITM Web of Conferences;2024
2. A new PIN model with application of the change-point detection method;Review of Quantitative Finance and Accounting;2023-09-25
3. Estimation of the Probability of Informed Trading Models Via an Expectation-Conditional Maximization Algorithm;SSRN Electronic Journal;2022
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