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Probability of informed trading during the COVID‑19 pandemic:the case of the Romanian stock market

Financial Innovation 2023年第1期9卷 889-915页

作者： Cosmin Octavian Cepoi Victor Dragotă Ruxandra Trifan Andreea Iordache Department of Money and Banking and CEFIMO Faculty of Finance and BankingBucharest University of Economic StudiesBucharestRomania Department of Finance and CEFIMO Faculty of Finance and BankingBucharest University of Economic StudiesBucharestRomania Doctoral School of Finance Faculty of Finance and BankingBucharest University of Economic StudiesBucharestRomania

Using data from the Bucharest Stock Exchange,we examine the factors influencing the probability of informed trading(PIN)during February—October 2020,a COVID-19 pandemic *** on an unconditional quantile regression approach,we show that PIN exhibit asymmetric dependency with liquidity and trading ***,building a customized database that contains all insider transactions on the Bucharest Stock Exchange,we reveal that these types of orders monotonically increase the infor-mation asymmetry from the 50th to the 90th quantile throughout the PIN ***,we bring strong empirical evidence associating the level of information asym-metry to the level of fake news related to the COVID-19 *** novel result suggests that during episodes when the level of PIN is medium to high(between 15 and 50%),any COVID-19 related news classified as misinformation released during the lockdown period,is discouraging informed traders to place buy or sell orders condi-tioned by their private information.

关键词： PIN COVID-19 market microstructure Insider trading

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Study on the Intraday Pattern and the Dynamic Correlation Among Return,Volume and Open Interest——Evidence from Chinese Commodity Futures markets

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Journal of Systems Science & Complexity 2015年第1期28卷 156-174页

作者： LIU Xiangli WANG Shouyang School of Finance Central University of Finance and Economics Academy of Mathematics and Systems Science Chinese Academy of Sciences

This paper uses minute by minute data series from Chinese commodity futures markets to study patterns of intraday effect and discovers the L pattern of absolute return and *** is different from stock market,which has a distinctive pattern of *** financial market microstructure theory,traders' psychology and trading mechanism are applied to explain *** this paper studies the factors that influence volatility of return and the lagged *** results show that there is a bilateral Granger causality among any two of the absolute return,volume and open interest,and it is different from the empirical results of the stock market,in the sense that there is only a unilateral Granger causal relationship from volume to absolute *** authors also analyze the dynamic relationship among these three *** empirical results tell that the influence of open interest on volatility of absolute return and volume is weak,and there is a strong correlation between absolute return and *** investment suggestions are offered from the analysis mentioned above.

关键词： Granger causality high-frequency data intraday effect market microstructure vector autoregression.

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A QUANTITATIVE MODEL FOR INTRADAY STOCK PRICE CHANGES BASED ON ORDER FLOWS

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Journal of Systems Science & Complexity 2014年第1期27卷 208-224页

作者： LIMeng HUI Xiaofeng ENDO Misao KISHIMOTO Kazuo School of Management Harbin Institute of Technology Harbin 150001 China. Socio-economic Research Center Central Research Institute of Electric Power Industry Tokyo 100-8126 Japan. Graduate School of Systems Information Engineering University of Tsukuba Ibaraki-ken 305-8571 Japan.

This paper proposes a double Markov model of the double continuous auction for describing intra-day price changes. The model splits intra-day price changes as the repetition of one tick price moves and assumes order arrivals are independent Poisson random processes. The dynamic process of price formation is described by a birth-death process of the double M/M/1 server queue corresponding to the best bid/ask. The initial depths of the best bid and ask are defined as different constants depending on the last price change. Thus, the price changes in the model follow a first-order Markov process. As the initial depth of the best bid/ask is originally larger than that of the opposite side when the last price is down/up, the model may explain the negative autocorrelations of the price of the best bid/ask. The estimated parameters are based on the real tick-by-tick data of the Nikkei 225 futures listed in Osaka Stock Exchanges. The authors find the model accurately predicts the returns of Osaka Stock Exchange average.

关键词： Intra-day price changes market microstructure order flow queuing theory.

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Dependencies between price duration, volatility, volume and return on the Warsaw Stock Exchange

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Journal of Modern Accounting and Auditing 2010年第10期6卷 27-38页

作者： Malgorzata Doman Ryszard Doman Department of Applied Mathematics Poznan University of Economics Poznan 61-875 Poland Faculty of Mathematics and Computer Science Adam Mickiewicz University in Poznan Poznan 61-614 Poland

The successive changes of asset prices are the most visible manifestation of financial markets dynamics. There exist different views about factors generating these changes, but many researchers and practitioners agree that the most important among them is the impact of information flow. According to the market microstructure theories, it depends mainly on the behavior of informed and uniformed traders. In the paper, we investigate dependencies between the possible proxies of information process： price duration and corresponding to it volume change and return. Our main objective is to answer the question about the most important factor in the process of discovering information by uniformed traders. We apply a set of models for volatility, volume and duration data. Our analysis is performed for selected equities listed on the Warsaw Stock Exchange and uses tick-by-tick data. The obtained results show that the stock liquidity on this leading stock market in Central and Eastern Europe is the most important factor influencing the process of discovering information by uninformed traders.

关键词： market microstructure volume volatility price duration dynamics stock returns ACD models ACV models

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