A new PIN model with application of the change-point detection method

Chu Lan Michael Kao, Emily Lin*

*此作品的通信作者

研究成果: Article同行評審

摘要

The existing PIN models impose a restriction on the number of possible intensity pairs. However, our investigation shows that the number of empirical intensity pairs is significantly more than the one these models assume, and this number changes daily. Therefore, we propose a new model which, by using the change-point detection technique, can adjust this number according to the data. The model also considers autocorrelation, which is lacking in the existing PIN models. In addition, we show that the proposed model can examine how public information transfers to individual stock price and quantify transfer delay.

原文English
頁(從 - 到)1513-1528
頁數16
期刊Review of Quantitative Finance and Accounting
61
發行號4
DOIs
出版狀態Published - 11月 2023

指紋

深入研究「A new PIN model with application of the change-point detection method」主題。共同形成了獨特的指紋。

引用此