Improvements in estimating the probability of informed trading models

DOI10.1080/14697688.2020.1800805zbMath1476.91169OpenAlexW3083396940MaRDI QIDQ5014208

Tsung-Chi Cheng, Hung-Neng Lai

Publication date: 1 December 2021

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

Full work available at URL: https://doi.org/10.1080/14697688.2020.1800805

zbMATH Keywords

maximum likelihood methodmixture distributionmarket microstructureprobability of informed trading

Mathematics Subject Classification ID

Financial markets (91G15)

Cites Work

• Choosing initial values for the EM algorithm for finite mixtures
• A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering

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