easy · Market Microstructure
What does the Probability of Informed Trading (PIN) model primarily measure in a market microstructure context?
- The likelihood that a market order will be executed at a price better than the quote midpoint.
- The fraction of total order flow that originates from traders with private information.
- The speed at which a market maker can update their quotes following a trade.
- The probability that a limit order will be filled within a specific time horizon.
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