Time-Varying Arrival Rates of Informed and Uninformed Trades-Reference-Cited by-同舟云学术

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Time-Varying Arrival Rates of Informed and Uninformed Trades

Published:2007-12-13 Issue:2 Volume:6 Page:171-207
ISSN:1479-8409
Container-title:Journal of Financial Econometrics
language:en
Short-container-title:Journal of Financial Econometrics

Author:

Easley D.,Engle R. F.,O'Hara M.,Wu L.

Publisher

Oxford University Press (OUP)

Subject

Economics and Econometrics,Finance

Link

http://academic.oup.com/jfec/article-pdf/6/2/171/2594496/nbn003.pdf

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2. Probability of Informed No-Tradings: A Copula-Based PIN Model with Zero-Inflated Poisson Distributions;ITM Web of Conferences;2024

3. Asymmetric information and the distribution of trading volume;Journal of Corporate Finance;2023-10

4. A new PIN model with application of the change-point detection method;Review of Quantitative Finance and Accounting;2023-09-25

5. Selling Fast and Buying Slow: Heuristics and Trading Performance of Institutional Investors;The Journal of Finance;2023-09-07

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