A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering

DOI10.1080/14697688.2015.1023336zbMath1406.91508OpenAlexW3126070602MaRDI QIDQ4619485

Quan Gan, David Johnstone, Wang Chun Wei

Publication date: 6 February 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697688.2015.1023336

zbMATH Keywords

cluster analysismixture modelmarket microstructureSkellam distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Actuarial science and mathematical finance (91G99)

Related Items (2)

A new estimation for informed trading based on SSNF method ⋮ Improvements in estimating the probability of informed trading models

Cites Work

• Unnamed Item
• Efficient algorithms for agglomerative hierarchical clustering methods
• Cluster Analysis
• Introduction to Information Retrieval
• The Frequency Distribution of the Difference Between Two Poisson Variates Belonging to Different Populations

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