財金系擬於 3/21(五) 邀請 Prof. Albert Wang，至本所進行專題演講，相關訊息如下：

時間: 3/21(五) 10:30-12:00

地點: 管理學院一號館4F 405室

演講人: Prof. Albert Wang (王復國教授)

學校:School of Business Administration: Economics and Finance, University of Dayton

講題: A Dynamic Intraday Measure of the Probability of Informed Trading and Firm-Specific Return Variation

Abstract:

A central question in financial economics is how private information is incorporated into

asset prices. A common method of measuring private information is the PIN measure, which

uses statistical estimation of a sequential trade model of the trading process to estimate the

probability of informed trading. A notable limiting feature of PIN is that one must aggregate

very fine intraday data over very long macro horizons in order to estimate it. In this paper,

our aim is to develop and implement a dynamic intraday measure of the probability of

informed trading that circumvents this aggregation issue and allows for the measurement of

information based trading activity at much higher frequencies. We then apply our dynamic

intraday measure of the probability of informed trading to examine the relationship between

private information and firm-specific return variation.