Estimation of the probability of informed trading models via an expectation-conditional maximization algorithm
Abstract The estimation of the probability of informed trading (PIN) model and its extensions poses significant challenges owing to various computational problems. To address these issues, we propose a novel estimation method called the expectation-conditional-maximization (ECM) algorithm, which can...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
SpringerOpen
2025-01-01
|
| Series: | Financial Innovation |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s40854-024-00729-w |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|