Ranking the Trading Symbols of the Largest Companies Listed in the Tehran Stock Exchange Based on the Probability of Informed Trade Criteria (original) (raw)

Correlations and clustering in the trading of members of the London Stock Exchange

AIP Conference Proceedings, 2007

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The effect of asymmetric information risk on returns of stocks traded on the BM&FBOVESPA

Revista Contabilidade & Finanças, 2017

This study sought to analyze information asymmetry in the Brazilian stock market and its relation with the returns required from portfolios through the metrics volume-synchronized probability of informed trading. To do this, the study used actual data from the transactions of 142 stocks on the Brazilian Securities, Commodities and Futures Exchange (BM&FBOVESPA), within the period from May 1, 2014, to May 31, 2016. The results point out a high flow toxicity level in the orders of these stocks. In segment analyses of the stock market listing, data suggest there is no clue that stocks from the theoretically more overt segments have a lower toxicity level of order flows. The justification for this finding lies on the negative correlation observed between the market value of stocks and the toxicity level of orders. To test the effect of asymmetric information risk on stock returns, a factor related to the toxicity level of orders was added to the three-, four-, and five-factor models. Th...

Measuring Information Asymmetry in Large Active Firms on the Tehran Stock Exchange

Scientific Annals of Economics and Business, 2016

In financial markets, transparency of financial information is one of the most effective variables of investment strategies. Information asymmetry can seriously affect firm performance on the stock exchange and firms with a poor informational environment can lose the interest of investors. Reducing information asymmetry can have an important effect on firm performance on the stock exchange. Firms may lack a clear informational environment in the market because of the emerging conditions governing the Tehran Stock Exchange. Because larger and more active firms on the Tehran Stock Exchange provide more information, measuring the informational environment of these firms provides an overview of information asymmetry. The present study calculated the information asymmetry in these firms using the PIN and FE indices. The inconsistent results provided by these indices prompted the authors to offer a new index that is a composite of the PIN and FE that can better explain information asymmet...

Cluster PIN: A New Estimation Method for the Probability of Informed Trading

SSRN Electronic Journal, 2013

We present a new method for estimating the probability of informed trading (PIN). This method, called Cluster PIN (CPIN), is based on cluster analysis used in machine learning. CPIN does not require maximum likelihood estimation and thus avoids the computational issues that have been associated with some previous PIN estimation routines. We _nd that CPIN is more than 700 times faster than the best existing estimation method, and has comparable accuracy. A further practical advantage is that CPIN can be used to identify initial parameter conditions for existing maximum likelihood estimation methods. This hybrid of CPIN and maximum likelihood estimation yields the best practical combination of estimation speed and accuracy.

Correlation based clustering of the Mongolian stock exchange for portfolio management

IJEMR, 2018

Background/Objectives: This research paper analyzed the stock prices of Mongolia Stock Exchange TOP 20 index from 1 January 2012 to 31 December 2016, and estimated the return rate of these stocks. Methods/Statistical analysis: A hierarchical clustering was created from the correlation matrix of stock returns. From this clustering five stocks were selected for the portfolio construction and the rate of return was maximized using the Modern Portfolio Theory developed by Harry Markowitz. Findings: The weight of each stock in the portfolio was calculated for maximization the return rate of the portfolio, and 12 portfolios were constructed from these five stocks. Improvements/Applications: An investor can select appropriate one of these portfolios in accordance with his or her risk and return characteristics

An unbiased computation methodology for estimating the probability of informed trading (PIN)

Journal of International Financial Markets, Institutions and Money, 2016

Computational drawbacks regarding the maximum likelihood estimation (MLE) of the widely used PIN (probability of informed trading) measure (Easley et al., 1996) heavily distort the findings of a broad literature. Previously proposed methodologies are not free of computational biases mainly because involved problems are not treated accurately and in unity. Upon revealing the mistreatment in commonly used YZ algorithm (Yan and Zhang, 2012), we suggest a remedy for the problem of boundary solutions. Next, we differentiate and focus on another computational issue: "determination of powerful initial value sets". We develop a new algorithm that employs cluster analysis to assign multiple powerful sets of initial values for the MLE function. The analyses of the simulated quarterly datasets reflect that applying the algorithm outperforms the existing methods in accuracy. Most notably, none of the mean estimates on PIN and five intermediary parameters contains significant bias at 1% level. Empirical evidence from BIST-30 Index constituents provides consistent and supportive results. In addition to accuracy concerns, consuming one-seventeenth of the time spent in YZ algorithm, the algorithm is highly applicable by researchers and professionals.

Testing Informational Market Efficiency on Kuala Lumpur Stock Exchange

2003

The primarily objective of this study is to investigate the informational efficiency of th e Kuala Lumpur Security Exchange (KLSE) in terms of the da ily Composite Indexfor the period of 1" January 1977-3,d May 2002. This paper concerned with the weak form test of efficient market hypothesis. Since its discovery in 1982 by Engel, Autoregressive Conditional Heterocedastic (ARCH) modelling , which allows the conditional \'ariance fo change over time as a f unction of past errors keeping the ul/conditional variance constant, has tum out to be a growth industry, with all sorts a/variations on the original model. One that has became we ll-known is the Generali ze d Autoregressive Conditional Heterocedastic (GA RCH) model that is developed by Bollerslev (1986). It has been observed that such models capture much temporal behaviour like thick tail distribution and volatility clustering of many economic and financial variables. Since, in order to explore efficiency of such growing market a non-linear GARCH model is estimated. Emp irical results confirm that KLSE is predictable and thus is not injormafionally efficient in the weak sense and volatility of return is quite persistent when daily observation oj composite index is used.

Reduce the risk of stock trading by using technical analysis in iran's stock market

Journal of Fundamental and Applied Sciences, 2016

One of the basic criteria for evaluating the performance of a stock portfolio is taking into account the return on investment with the rate of their risk. In this research, efficiency of 50 active companies of Tehran Stock Exchangeevaluated by moving average method with their appropriate risk. In measuring mentioned strategic risk, Fama and French three-factor developed model has been used toughlywhich is among the most important models. The results indicate significant effects of excess market efficiency, size of company and the ratio of book value to market value.In other words, the risk premium of price, size and value of market was predicted which with increasing the efficiency of stock in proportion to efficiency of government bonds, market efficiency also increase.And the risk premium of size and value has negative impact on efficiency of stock forecasting. With this observation, this research suggest forming a portfolio with zero cost by purchasing the highest portfolio of book value at market prices (BM) and selling lowest portfolio of book value at market prices (BM) by signals issued by Moving Average.

Assessing Relationship Between Type Of Financial Market And Market Indices In Tehran Stock Exchange

2011

The aim of this study was to examine and identify the type of Iranian financial market in terms of being symmetrical or asymmetrical and to measure relationship between type of market and the market's indices. In this study, daily information on the market-s Share Price Index, Industrial Index and Top Fifty Most Active Companies during the years 1999-2010 has been used. In addition, to determine type of the financial market, rate of return on Security is taken into account. In this research, by using logistic regression analysis methods, relationship of the market type with the above mentioned indices have been examined. The results showed that the type of the financial market has a positive significant association with market share price index and Industrial Index. Index of Top Fifty Most Active Companies is significantly associated with type of financial market, however this relationship is inverse.