Marcin Niedużak , Mateusz Pipień
ARTICLE

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ABSTRACT

This article is as an attempt to introduce fluctuation of expectations of investors who make transactions resulting from the influx of new information on the market(informed trading). The Volume-synchronized probability of informed trading was estimated on the basis of price variation of KGHM Polska Miedź S.A. shares listed on the Warsaw Stock Market. The results of this analysis might serve as an analytical and empirical basis for further verification on how new information affects investors’ behavior.

KEYWORDS

new information, market microstructure, EKOP model, volume synchronized probability of informed trading

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