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Detecting information-driven trading in a dealers market
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SYSNO ASEP 0364287 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Článek ve WOS Title Detecting information-driven trading in a dealers market Author(s) Hanousek, Jan (NHU-C) RID
Kopřiva, František (NHU-C) RIDSource Title Finance a úvěr-Czech Journal of Economics and Finance. - : Univerzita Karlova v Praze - ISSN 0015-1920
Roč. 61, č. 3 (2011), s. 204-229Number of pages 26 s. Publication form www - www Language eng - English Country CZ - Czech Republic Keywords dealers’ market ; emerging markets ; informed trading Subject RIV AH - Economics R&D Projects GAP403/11/0020 GA ČR - Czech Science Foundation (CSF) LC542 GA MŠMT - Ministry of Education, Youth and Sports (MEYS) CEZ MSM0021620846 - NHU-C UT WOS 000293383600001 Annotation 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. Workplace Economics Institute - CERGE Contact Tomáš Pavela, pavela@cerge-ei.cz, Tel.: 224 005 122 Year of Publishing 2012 Electronic address http://journal.fsv.cuni.cz/storage/1212_hanousek.pdf
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