SSRNTrading, Microstructure & Execution
Measuring Informed Trading Intensity with ML
A machine learning technique is used to create a new measure of informed trading intensity, which rises before significant announcements and affects return reversal and asset pricing.
Featured in No. 7 on 12 Jul 2023 ·
- Released
- 15 Jun 2021
- First featured
- No. 7 · 12 Jul 2023
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 2
- Identifier
- SSRN 4505962
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).