ML4.Informed Trading Intensity 摘要:我们在一类知情交易上训练了一种机器学习方法,以开发一种新的知情交易衡量标准,即知情交易强度(ITI)。ITI在盈利、并购和新闻公告之前增加,并对回报逆转和资产定价有影响。ITI之所以有效,是因为它捕捉到了知情交易、交易量和波动性之间的非线性和相互作用。这种数据驱动的方法可以揭...
ccg.tsinghua.edu.cn|基于4个网页 2. 资讯交易 ...entral Agency Problem)与私有资讯交易(Informed Trading),在台湾上市、柜的公司层出不穷,也可以说家族或集团企业与私 … etd.lib.nsysu.edu.tw|基于 1 个网页 3. 交易行为 ...而这一信息流程的实现主要借助于投 资者有信息含量的交易行为(Informed Tradi...
informed trading 词典释义：知情交易；信息性交易。例句：Does Informed Trading Improve Performances of Mutual Funds? 参与知情交易提高了基金业绩吗
Informed TradingLiquidityUncertaintyWe document that firm-specific informed trading is an important determinant of price momentum. The stronger return continuation in stocks with greater informed trading cannot be explained by cross-sectional differences in uncertainty proxies such as analyst forecast ...
知情交易概率(probability of informed trading)在日内呈现“倒J形”曲线。关于这个现象的简单理解是:由于隔夜时段的交易暂停,每个交易日开盘后,市场累积的大量私有信息,将通过交易迅速释放,因此知情交易概率在开盘后呈现快速下降的形态。换言之,知情交易者更加倾向于在每日上午进行交易,上午的价格行为蕴藏了更多可用于选股...
This evidence jointly suggests the existence of a systematic link between informed trading activities and the FOMC embargo practices. Our tests rest on the tenet that, to capitalize on pre-release access to macro-news, an investor would want to trade an instrument that has high systematic, but ...
In this study, we present an extension of the theory describing informed trader's strategies and provide relevant empirical evidence on the most basic questions about informed trading: First, how do informed traders build positions, and what explains their strategies? Second, how do their decisions...
Abstract. Taking advantage of the different trading behaviors of investors on same-issuer bonds, we show that informed trading lies at the core of the mome
This paper studies the welfare economics of informed trading in a stock market. We model the effect of more informative prices on investment, given that this dependence will itself be reflected in equilibrium prices. We show that in rational expectations equilibrium with price-taking competitive behav...
摘要: We train a machine learning method on a class of informed trades to develop a new measure of informed trading, the Informed Trading Intensity (``ITI''). ITI inc关键词: Informed trading machine learning adverse selection stock returns intraday data ...