Modeling the Probability of Informed Trading in the European Carbon Market

Keywords

Carbon market, Business, Econometrics, Financial economics, Economics

References

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• PRICE, TRADE SIZE, AND INFORMATION IN SECURITIES MARKETS*David Easley, Maureen O’Hara — 1987
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• Time-varying informed and uninformed trading activitiesQin Lei, Guojun Wu — 2005
• Rolling over EUAs and CERsÓscar Carchano, Ángel Pardo Tornero, Vicente Medina — 2012
• Why is PIN PricedJefferson Duarte, Lance A. Young — 2008
• Time and the Process of Security Price AdjustmentDavid Easley, Maureen O’Hara — 1992
• What does PIN identify? Evidence from the T-bill marketOzgur Akay, Ken B. Cyree, Mark D. Griffiths — 2012
• How Stock Splits Affect Trading: A Microstructure ApproachDavid Easley, Maureen O’Hara, Gideon Saar — 2001
• Modeling and Explaining the Dynamics of European Union Allowance Prices at High-FrequencyChristian Conrad, Daniel Rittler, Waldemar Rotfuß — 2012
• The PIN anomaly around M&A announcementsNihat Aktas, Eric de Bodt, Fany Declerck — 2007
• A Microstructure Analysis of the Carbon Finance MarketDon Bredın, Stuart Hyde, Cal B. Muckley — 2014
• Multimarket Trading and Market LiquidityBhagwan Chowdhry, Vikram K. Nanda — 1991
• What You Should Know About Carbon MarketsMaría Mansanet-Bataller, Ángel Pardo — 2008
• Liquidity, Information, and Infrequently Traded StocksDavid Easley, Nicholas M. Kiefer, Maureen O’Hara — 1996
• On the realized volatility of the ECX CO2 emissions 2008 futures contract: distribution, dynamics and forecastingJulien Chevallier, Benoît Sévi — 2011
• Are the European Carbon Markets EfficientGeorge Daskalakis, Raphael-Nicholas Markellos — 2008

Cited by

• The timeline of trading frictions in the European carbon marketVicente Medina, Ángel Pardo, Roberto Pascual — 2012

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