Assessing informed trading measures against material mining progress reports

Feigin, A

Assessing informed trading measures against material mining progress reports

Feigin, A

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Publication Type:: Thesis
Issue Date:: 2015

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Field	Value	Language
dc.contributor.author	Feigin, A
dc.date.accessioned	2015-11-30T01:02:46Z
dc.date.available	2015-11-30T01:02:46Z
dc.date.issued	2015
dc.identifier.uri	http://hdl.handle.net/10453/38976
dc.description	University of Technology Sydney. Faculty of Business.	en_AU
dc.description.abstract	A method for assessing measures of informed trading is proposed, under a framework of minimal assumptions about informed trader behaviour. The method is applied in the setting of progress reports made by mining firms. Two informed trading measures are assessed: PIN (probability of informed trading; Easley, Kiefer, O’Hara and Paperman 1996) and limit order book slope (Næs and Skjeltorp 2006). PIN is found to be ineffective, at least in this setting given the assumptions. It is found that buyer initiated trading surges prior to the release of both good and bad material news. This and low liquidity are offered as explanations for PIN’s failure. Limit order book slope is found to be weakly predictive of informed trading, but it is unable to distinguish between buyer and seller driven informed trading. The method may be applied to other informed trading measures in this setting or in others. This thesis is of interest to academics, market regulators and other users of informed trading measures.	en_AU
dc.format	Thesis (PhD)
dc.language.iso	en_AU	en_AU
dc.relation	https://opus.lib.uts.edu.au/bitstream/10453/38976/2/02whole.pdf
dc.rights	au.edu.uts.lib/ppc
dc.rights	info:eu-repo/semantics/openAccess
dc.rights	The author owns the copyright in this thesis including all reproduction and reuse rights for the work. The work may not be altered without the permission of the copyright owner. Attribution is essential when quoting or paraphrasing from this thesis.
dc.subject	Measures of informed trading.	en
dc.subject	Mining progress reports.	en
dc.subject	PIN (probability of informed trading).	en
dc.subject	Limit order book slope.	en
dc.subject	Buyer initiated trading.	en
dc.subject	PIN’s failure.	en
dc.subject	Informed trading measures.	en
dc.title	Assessing informed trading measures against material mining progress reports	en_AU
dc.type	Thesis	en_AU
utslib.copyright.status	open_access

Abstract:

A method for assessing measures of informed trading is proposed, under a framework of minimal assumptions about informed trader behaviour. The method is applied in the setting of progress reports made by mining firms. Two informed trading measures are assessed: PIN (probability of informed trading; Easley, Kiefer, O’Hara and Paperman 1996) and limit order book slope (Næs and Skjeltorp 2006). PIN is found to be ineffective, at least in this setting given the assumptions. It is found that buyer initiated trading surges prior to the release of both good and bad material news. This and low liquidity are offered as explanations for PIN’s failure. Limit order book slope is found to be weakly predictive of informed trading, but it is unable to distinguish between buyer and seller driven informed trading. The method may be applied to other informed trading measures in this setting or in others. This thesis is of interest to academics, market regulators and other users of informed trading measures.

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http://hdl.handle.net/10453/38976