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Detecting information-driven trading in a dealers market
- 1.0364287 - NHU-C 2012 RIV CZ eng J - Journal Article
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
R&D Projects: GA ČR(CZ) GAP403/11/0020; GA MŠMT LC542
Institutional research plan: CEZ:MSM0021620846
Keywords : dealers’ market * emerging markets * informed trading
Subject RIV: AH - Economics
Impact factor: 0.346, year: 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.
Permanent Link: http://hdl.handle.net/11104/0199809
Number of the records: 1