medium · Market Microstructure adverse-selection
A PIN model estimation for a specific stock yields the following parameters: α = 0.3 (probability of an information event), μ = 400 (rate of informed orders), ε_b = 600 (uninformed buy rate), and ε_s = 600 (uninformed sell rate).
What is the Probability of Informed Trading (PIN)?
- 0.132
- 0.100
- 0.250
- 0.091
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