Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange

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TALEBLOO REZA; SHAKERI ABAS; Rahmaniani Milad

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Journal: Iranian Journal of Economic Research Year:2019 | Volume:24 | Issue:78 Page(s): 1-29

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Title

Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange

Author(s)

TALEBLOO REZA | SHAKERI ABAS | Rahmaniani Milad | Issue Writer Certificate

Keywords

Asymmetric informationQ1

Market microstructureQ1

Probability of informed tradingQ1

Abstract

Easley and O'Hara (1992) introduce Probability of informed trading (PIN) concept to measure the degree of Asymmetric information in market. Since then there has been a lot of debate on the accuracy of the calculations for PIN. Lin and Ke (2011) by using Factorization method and Yan and Zhang (2012) using Grid-Search based methods introduced other ways to improve the accuracy of the measurement. In this paper, we compare four different methods of PIN calculation for 206 selected companies for listed companies in Tehran Stock Exchange (TSE). We used maximum likelihood method to estimate parameters. The results show that the average of PIN for LK methodology is 0. 242 and for EHO is 0. 281 in our sample. Moreover, clustering Approach is faster which make it more suitable for practical applications in the real market. Comparison of standard deviation of different methods shows that Grid Search approach is more stable with lower variations in the results.

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APA: Copy

TALEBLOO, REZA, SHAKERI, ABAS, & Rahmaniani, Milad. (2019). Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange. IRANIAN ECONOMIC RESEARCH, 24(78 ), 1-29. SID. https://sid.ir/paper/360994/en

Vancouver: Copy

TALEBLOO REZA, SHAKERI ABAS, Rahmaniani Milad. Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange. IRANIAN ECONOMIC RESEARCH[Internet]. 2019;24(78 ):1-29. Available from: https://sid.ir/paper/360994/en

IEEE: Copy

REZA TALEBLOO, ABAS SHAKERI, and Milad Rahmaniani, “Comparing different methods of estimation for Probability of Informed Trading in Tehran Stock Exchange,” IRANIAN ECONOMIC RESEARCH, vol. 24, no. 78 , pp. 1–29, 2019, [Online]. Available: https://sid.ir/paper/360994/en

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