Ekonometryczna analiza prawdopodobieństwa zawarcia transakcji wynikających z napływu informacji – wpływ założeń co do rozkładu stóp zwrotu na zmienność miary VPIN
Econometric Analysis of Probability of Informed Trading – The Impact of Distribution of Market Price Return on VPIN Change

Summary/Abstract: This article is as an attempt to introduce fluctuation of expectations of investors who make transactions resulting from the influx of new information on the market(informed trading). The Volume-synchronized probability of informed trading was estimated on the basis of price variation of KGHM Polska Miedź S.A. shares listed on the Warsaw Stock Market. The results of this analysis might serve as an analytical and empirical basis for further verification on how new information affects investors’ behavior.

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