Detecting information-driven trading in a dealers market

0364287 - NHU-C 2012 RIV CZ eng J - Článek v odborném periodiku
Hanousek, Jan - Kopřiva, František
Detecting information-driven trading in a dealers market.
Finance a úvěr-Czech Journal of Economics and Finance. Roč. 61, č. 3 (2011), s. 204-229. ISSN 0015-1920. E-ISSN 0015-1920
Grant CEP: GA ČR(CZ) GAP403/11/0020; GA MŠMT LC542
Výzkumný záměr: CEZ:MSM0021620846
Klíčová slova: dealers’ market * emerging markets * informed trading
Kód oboru RIV: AH - Ekonomie
Impakt faktor: 0.346, rok: 2011
http://journal.fsv.cuni.cz/storage/1212_hanousek.pdf

We focus on the extent of information-driven trading originating from order flows to capture the behavior of the market makers on an emerging market. We modified the classical Easley et al. (1996) model for the probability of informed trading using a jackknife approach in which trades of one particular market maker at a time are left out from the sum of all buys and sells. Using the estimates from the jackknife approach, for each market maker we test whether the order flows associated with the particular market maker behaved significantly differently from the others. Data from the Prague Stock Exchange SPAD trading platform are used to demonstrate our methodology.
Trvalý link: http://hdl.handle.net/11104/0199809