I n this paper, trading symbols of the 30 largest companies listed in the Tehran Stock Exchange (TSE) were ranked based on the asymmetry information risk. Using the Ersan and Alici (2016) modified clustering algorithm (EA), we estimated the probability of informed trading (PIN) to measure the asymmetry information among traders for each trading symbol and trading day through two-year...

Informed Trading and the Pricing of Good and Bad Private Information in the Cross-Section of Expected Stock Returns We decompose PIN, the Probability of Informed Trading, into components that capture informed trading on good news (PIN G) and on bad news (PIN B), and provide new evidence that PIN and its components capture informed trading around quarterly earnings announcements. Our principal r...

" Cluster PIN: A new estimation method for the probability of informed trading " Abstract We present a new method for estimating the probability of informed trading (PIN). This method, called Cluster PIN (CPIN), is based on cluster analysis used in machine learning. CPIN does not require maximum likelihood estimation and thus avoids the computational issues that have been associated with some p...

The Probability of Informed Trading (PIN) is a widely used indicator information asymmetry risk in the trading securities. Its estimation using maximum likelihood algorithms has been shown to be problematic, resulting biased or unavailable estimates, especially case liquid and frequently traded assets. We provide an alternative approach estimating PIN by means Bayesian method that addresses som...

We propose an Autoregressive Conditional Marked Duration (ACMD) model for the analysis of irregularly spaced transaction data. Based on the Autoregressive Conditional Duration (ACD) model, the ACMD model assigns marks to characterize events such as tick movements and trade directions (buy/sell). Applying the ACMD model to tick movements, we study the influence of trade frequency, direction and ...

I formulate a stylized Glosten-Milgrom model of financial market trading in which people are allowed to time their trading decision. The focus of the analysis is to understand people’s timing behavior and how it affects bidand offer-prices and volume. Assuming heterogeneous quality of information, not all informed traders choose to trade immediately but some chose to delay, although they expect...

We find that accruals mispricing is more pronounced for stocks with higher level of probability of informed trading (PIN). We interpret it as the evidence of informed traders using their proprietary information on accruals quality to trade against average investors. The informed traders’ arbitrage generates an annualized size and book-to-market adjusted abnormal return of 19.81% over the 1993-2...