A new estimation for informed trading based on SSNF method

DOI10.1007/S11424-017-6278-2zbMath1417.91549OpenAlexW2770669006MaRDI QIDQ1621190

Shangmei Zhao, Tao Bing, Shancun Liu, Qiang Zhang

Publication date: 8 November 2018

Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11424-017-6278-2

zbMATH Keywords

wavelet analysisinformed tradersPINSSNF

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical methods for wavelets (65T60) Derivative securities (option pricing, hedging, etc.) (91G20)

Cites Work

• Multiscale analysis of stock index return volatility
• Multiresolution Approximations and Wavelet Orthonormal Bases of L 2 (R)
• A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering

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