A note of techniques that mitigate floating-point errors in PIN estimation

Wen Chyan Ke*, Hueiling Chen, Hsiou Wei William Lin

*此作品的通信作者

研究成果: 雜誌貢獻期刊論文同行評審

摘要

This study aims at the estimation of the probability of informed trading (PIN), which may fail for stocks with high levels of trading activities due to a computer's floating-point exception (FPE). In this paper, we discuss two solutions of adopting scaled trade counts and reformulating the likelihood to estimate PIN for actively traded stocks. This study shows that, although scaled data mitigates the impact of the FPE, the effectiveness of scaled data, however, appears to underperform when users adopt the unsuitable expression of the likelihood function. In contrast, the remedy of reformulating the likelihood is more stable.

原文英語
頁(從 - 到)458-464
頁數7
期刊Finance Research Letters
31
DOIs
出版狀態已發佈 - 2019 十二月

ASJC Scopus subject areas

  • 金融

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