Habib Soheyli Ahmadi
Ph.D. Candidate, Department of Economics, University of Tehran, Tehran, Ira
[ 1 ] - Arrival Dynamics of Informed and Uninformed Traders into Tehran Stock Exchange
Objective: The aim of this study is to model arrival process of informed and uninformed traders into Tehran Stock Exchange (TSE) as well as to assess the interaction between two types of traders which is an important yet neglected topic. Methods: In this study, a sequential trade model was estimated based on trading data of 33 stocks belonging to 11 industries of TSE during the period from 201...
[ 2 ] - Estimating the Dynamics of Information Risk at the Tehran Stock Exchange
The aim of this study is to investigate the dynamics of information risk at the Tehran Stock Exchange (TSE). We estimated the daily probability of information based trade (PIN) for 22 stocks from 11 different industries of TSE over 4 years. The total average of the daily PIN for all stocks was 27% from 2013 to 2016. The lowest and the highest average of PIN estimates for individual stocks are 2...
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