Construct · 1 fields · 1 citations

probability of informed trading: a standalone construct

One name. One construct. A landmark on the map.

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Market microstructure

the estimated share of order flow that comes from privately informed traders, inferred from imbalances between buy and sell orders.

In market microstructure, probability of informed trading refers to the estimated share of order flow that comes from privately informed traders, inferred from imbalances between buy and sell orders. This meaning comes from Easley (1996) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

flow6 names · 12 citationsjangle · five names, one experience, partly market3 fields · 5 citationsjingle · one word, three constructs order4 fields · 6 citationsjingle · one word, four constructs

References

Easley, D., Kiefer, N. M., O'hara, M., & Paperman, J. B. (1996). Liquidity, Information, and Infrequently Traded Stocks. The Journal of Finance, 51(4), 1405-1436. https://doi.org/10.1111/j.1540-6261.1996.tb04074.x

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