medium · Market Microstructure adverse-selection
The PIN (Probability of Informed Trading) model uses which of the following variables to estimate information risk?
- The imbalance between buyer-initiated and seller-initiated orders.
- The total number of shares held by institutional investors according to 13F filings.
- The correlation between the stock price and the S&P 500 index.
- The average delay in microseconds between a quote update and a trade.
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