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http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45398
標題: | 錯誤認定交易買賣方引致知訊交易機率估計偏誤之研究 Reducing the Impact of Trade Misclassification on Estimating the Probability of Informed Trading |
作者: | Wen-Chyan Ke 柯文乾 |
指導教授: | 林修葳 |
關鍵字: | 知訊交易,市場微結構,交易買賣方認定, Informed trading,Market microstructure,Trade classification, |
出版年 : | 2009 |
學位: | 博士 |
摘要: | In spite of the importance to estimate the probability of informed trading (PIN), a widely-used market measure (Easley et al., 1996, 2002), empiricists usually have no access to the data for distinguishing between buyer- and seller-initiated transactions and thus rely on trade classification algorithms. Nevertheless, prevalent algorithms such as Lee-Ready (Lee and Ready, 1991) may cause misclassifications. Consequently, PIN may be underestimated in extant microstructure studies. Aiming at correcting such bias, this paper proposes a remedial approach useful for both original and extended PIN models. We also demonstrate its effectiveness with simulated and historical data. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/45398 |
全文授權: | 有償授權 |
顯示於系所單位: | 國際企業學系 |
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