Econometric Analysis of Probability of Informed Trading – The Impact of Distribution of Market Price Return on VPIN Change

Marcin Niedużak; Mateusz Pipień

doi:https://doi.org/10.59139/ps.2014.02.3

Marcin Niedużak Uniwersytet Ekonomiczny w Krakowie , Mateusz Pipień Uniwersytet Ekonomiczny w Krakowie Przegląd Statystyczny. Statistical Review, vol. 61, 2014, 2, pages: 131-146 Published online: 30 June 2014 DOI https://doi.org/10.59139/ps.2014.02.3

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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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