hard · Market Microstructure
An analyst estimates the Probability of Informed Trading (PIN) for a security.
If the information event probability α = 0.30, the arrival rate of informed traders μ = 400 per day, and the arrival rates of uninformed buyers and sellers are ε_b = ε_s = 600 per day, what is the PIN value?
- 0.120
- 0.250
- 0.167
- 0.091
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