Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
961593 | Journal of Financial Markets | 2012 | 18 Pages |
Abstract
⺠Empirical methods for PIN identify trading clusters. ⺠PIN model assumes trading clusters from asymmetric information. ⺠PIN on one-month T-bills exceeds PIN on equities. ⺠T-bills prices do not include any economically meaningful asymmetric information. ⺠PIN model cannot identify the source of the trade clustering. ⺠This must come from the economics of the market under analysis.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Ozgur (Ozzy) Akay, Ken B. Cyree, Mark D. Griffiths, Drew B. Winters,