Počet záznamů: 1

Detecting information-driven trading in a dealers market

  1. 1.
    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
    Grant CEP: GA ČR(CZ) GAP403/11/0020; GA MŠk 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 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