Publication Details

Xu, M. & Liu, S. (2009). The probability of informed trading based on VAR model. International Conference on Business Intelligence and Financial Engineering, 2009. BIFE '09 (pp. 750-753). Piscataway, USA: IEEE.


The paper researches the representative variable of the probability of informed trading, selecting CCER high-frequency trading data of Shanghai stock exchange from 2003.7.1 to 2003.12.31, adopting VAR model. Different from previous studies, the paper firstly accounts for the dynamic relationship between trade and price. Then, the content of information in trading volume, duration and trading direction are considered in our model. Finally, it gets the probability of informed trading and analyzes this variable. The results show: the probability of informed trading is about 0.172713; the more asymmetric information is, the larger spread is; the probability of informed trading is the well-known U-shape; it is the biggest before the announcement.



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