Time-Varying Arrival Rates of Informed and Uninformed Trades

320 citations recorded by the source corpus.

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

What affects accounting conservatism: A corporate governance perspective (2009, background): “Easley et al. (1996) develop and estimate the probability of an information-based trading (PIN-score hereafter) that builds on Easley and O’Hara (1987, 1992).”
Estimating the Probability of Informed Trading - Does Trade Misclassification Matter? (2007, unknown): “The empirical approach pioneered by Easley et al. (1996) has the attractive feature that it allows to estimate the probability of informed trading from, as it appears, easily available data—all that is needed is the number of buyer- and seller-initiated trades.”
Cryptocurrency trading: a comprehensive survey (2020, methodology): “ally high before large positive (negative) events, compared to the quantiles of seller-initiated (buyer-initiated) orders; this study adopts a new indicator inspired by the volume imbalance indicator [87]. The evidence of informed trading in Bitcoin market suggests that investors proﬁt on their priv”
Estimating a Structural Model of Herd Behavior in Financial Markets (2010, background): “Easley et al. (1997a; 2008) recognize the importance of serial dependence in trading activity.”
Internal Control Weakness and Cost of Equity: Evidence from SOX Section 404 Disclosures (2007, methodology): “The method for estimation is described in Easley et al. (2001)(26).”