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Informed Trading in Cryptocurrency Markets
HSE Economic Journal. 2024. Vol. 28. No. 4. P. 615–646.
Grigorii Kuzmin, Alexei Boulatov
This paper empirically estimates information asymmetry in cryptocurrency markets using the Probability of Informed Trading (PIN) and Adjusted PIN metrics . These markets, characterized by a high proportion of algorithmic trading and large volumes of high-frequency data, present a promising environment for analyzing informed trading behavior. We introduce a modified estimation procedure for Adjusted PIN, addressing floating-point errors and issues with local extrema, thereby improving its accuracy compared to the traditional naive approaches commonly used in the literature. Additionally, we propose an alternative trade aggregation method at higher frequencies than the conventional daily aggregation to enhance the efficiency of both PIN and Adjusted PIN models. Through analysis of both simulated and real data, we demonstrate that aggregating total buy and sell trades on a daily basis results in less meaningful estimates due to noisy input data, making it difficult to capture informed trader activity. The true optimal trade aggregation frequency is still to be further investigated, as increasing the frequency introduces heterogeneity in order imbalances, and the specific frequencies at which informed traders operate are still unknown. Finally, several empirical studies are conducted to evaluate the behavior of the metrics, revealing that illiquid cryptocurrencies exhibit relatively higher estimated probabilities of informed trading. This finding aligns with similar results observed in equity markets.
Language:
English
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Для многокритериальных задач принятия решений по аналогии с качественной вероятностью введены понятия полной и частичной качественной важности как бинарных отношений, обладающих постулируемыми
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Рассматриваются задачи принятия решений, когда предпочтения оцениваются в порядковой шкале, а возможности реализации значений
неопределенного фактора описываются качественной вероятностью (полной или только частичной). Вводятся определения отношений предпочтения и безразличий на множестве стратегий. Предлагаются простые
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Kilinc-Ata N., Warong M. M., SN Business & Economics 2026 Vol. 6 Article 326(2026)
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In recent years, there has been a growing body of research examining how environmental, social, and governance (ESG) indicators affect the terms of mergers and acquisitions (M&A). A particularly relevant issue is the relationship between a company’s ESG profile and the acquisition premium — a markup over the target firm's market value. This review summarizes ...
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Jin T., Wu Y., Lu M. et al., Chinese Management Studies 2026 Vol. 20 No. 3 P. 561–590
Purpose
This study, based on the information asymmetry theory, aims to examine the impact of ESG on managerial perception of uncertainty, analyzing its mechanisms, influencing factor and economic implications.
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Leveraging information asymmetry theory, this study investigates whether rhetorical nationalism in corporate disclosures diminishes firm-specific price informativeness. Analyzing Chinese A-share data from 2010 to 2022, we develop a text-based index of rhetorical nationalism and find that firms employing stronger rhetoric exhibit greater stock price synchronicity. Forward-looking evidence supports an information environment channel: heightened rhetoric is ...
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