Estimating the Proportion of Informed Trade in Call Auctions
Overview & Synopsis
We show that the distribution of trading volume in call auctions is indicative of the proportion of informed trade. We use the Kyle (1985) model to predict the shape of the volume distribution as a function of the proportion of informed trade. If most liquidity demanders are uninformed, there is likely to be significant wash trade among them, resulting in Normal-like volume distributions. If most liquidity demanders are informed, their trades are correlated so that the volume distribution is skewed and has a higher coefficient of variation.
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Document Information
| Document Title | Estimating the Proportion of Informed Trade in Call Auctions |
|---|---|
| Author / Organization | Juan Raposo, Fabrice Riva, Francisco Sogorb, Jos van Bommel |
| Subject & Discipline | Multidisciplinary Academic Open Research |
| Categories | Science & Mathematics |
| Publication Year | 2011 |
| License / Rights | Open Access / Creative Commons |
| Resource Verification | Listed PDF (Verification Pending) |
| Original Host Website |
HAL Open Science
(hal.science)
|
| File Format | application/pdf (Portable Document Format) |
| Language | EN |
| Catalog ID | DOC-242785 |
| Original Source Link | Visit Source Page on hal.science » |