识别证券市场中的信息不对称

ERN: Search Pub Date : 2016-12-21 DOI:10.2139/ssrn.2565216

K. Back, Kevin Crotty, Tao Li

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引用次数: 6

摘要

当一个优化的交易者在PIN-like模型中选择通知订单时，信息事件的频率和大小不能仅仅从订单流的分布中识别出来。另一方面，凯尔的lambda确实确定了信息不对称。在数据中，Kyle的lambda在收益公告周围更高，但PIN估计不是。

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Identifying Information Asymmetry in Securities Markets

When informed orders in a PIN-like model are chosen by an optimizing trader, the frequency and magnitude of information events cannot be identified from the distribution of order flows alone. On the other hand, Kyle’s lambda does identify information asymmetry. In the data, Kyle’s lambda is higher around earnings announcements, but PIN estimates are not.

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ERN: Search

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