A New Estimation for Informed Trading Based on SSNF Method
作者:Bing, T(Bing, Tao);Zhao, SM(Zhao, Shangmei);Zhang, Q(Zhang, Qiang);Liu, SC(Liu, Shancun)
JOURNAL OF SYSTEMS SCIENCE & COMPLEXITY
DOI:10.1007/s11424-017-6278-2
出版年:AUG 2018
文献类型:Article
摘要
This paper estimates the information-based trading using spatially selective noise filtration (SSNF) method. The SSNF method is a kind of filtration technique based on the different spatial correlation of the wavelet transform at several adjacent scales. Using SSNF method, the information shock caused by the informed traders could be extracted from the prices effectively, then the PINs at different scales could be calculated. The measure of informed trading can capture some asymmetric information properties, which is consistent with some empirical consensuses. Furthermore, compared with the MLE method in EKOP model, the method has computational facilities in avoiding the overflow or underflow problem, the boundary solutions problem and the initial values problem. And the method could be applied to the high-frequency world in both order-driven and quote-driven market.
作者关键词:Informed traders;PIN;SSNF;wavelet analysis
KeyWords Plus:ASYMMETRIC INFORMATION;MULTISCALE ANALYSIS;ASSET RETURNS;STOCK RETURNS;PIN;PROBABILITY;MARKET;LIQUIDITY;PRICES;IMPACT
通讯作者地址:Zhang, Q (通讯作者)
地址:
电子邮件地址:jqx_zhq@buaa.edu.cn
SPRINGER HEIDELBERG, TIERGARTENSTRASSE 17, D-69121 HEIDELBERG, GERMANY
研究方向:Mathematics
Web of Science 类别:Mathematics, Interdisciplinary Applications
