تخمین احتمال معاملات مبتنی بر اطلاعات نهانی در صندوق‏های قابل معامله در بورس تهران: رویکردی بر مبنای ریزساختار بازار

References

Admati, A. R. & Pfleiderer, P. (1988). A Theory of Intraday Patterns: Volume and Price Variability. The Review of Financial Studies, 1(1), 3-4.

Akbas, F. (2015). The Calm before the Storm. The Journal of Finance, 71(1), 225–266. https://doi.org/10.1111/jofi.12377

Amihud, Y. & Mendelson, H. (1986). Asset pricing and the bid-ask sprea. Journal of Financial Economics, 17(2), 223–249. https://doi.org/10.1016/0304-405X(86)90065-6

Bambade, A. (2019). A New Way to Compute the Probability of Informed Trading. Journal of Mathematical Finance, 9(4), 637–666.

Boehmer, E., Gramming, J. & Theissen, E. (2007). Estimating the probability of informed trading—Does trade misclassification matter? Journal of Financial Markets, 10(1), 26–47. https://doi.org/10.1016/j.finmar.2006.07.002

Chae, J. (2005). Trading Volume, Information Asymmetry, and Timing Information. The Journal of Finance, 60(1), 413–422.

Chan, K. & Fong, W.-M. (2000). Trade size, order imbalance, and the volatility–volume relation. Journal of Financial Economics, 57(2), 247–273. https://doi.org/10.1016/S0304-405X(00)00057-X

Corsi, F. (2009). A Simple Approximate Long-Memory Model of Realized Volatility. Journal of Financial Econometrics, 7(2), 174–196. https://doi.org/10.1093/jjfinec/nbp001

Doostian, R. & Touski, O. F. (2020). The probability of informed trading and stock liquidity. International Journal of Finance and Managerial Accounting, 7(27). https://doi.org/10.30495/IJFMA.2022.61387.1662

Duarte, J., Hu, E. & Young, L. (2020). A comparison of some structural models of private information arrival. Journal of Financial Economics, 135(3), 795–815. https://doi.org/10.1016/j.jfineco.2019.08.005

Easley, D. & O’hara, M. (1992). Time and Process of Security Price Adjustment. Journal of Finance, 47, 576–605. https://doi.org/10.1111/j.1540-6261.1992.tb04402.x

Easley, D. & O’hara, M. (2004). Information and the Cost of Capital. The Journal of Finance, 59(4), 1553–1583.

Easley, D., Engle, R. F., O’hara, M. & Wu, L. (2008). Time-Varying Arrival Rates of Informed and Uninformed Trades. Journal of Financial Econometrics, 6(2), 171-2–7. https://doi.org/10.1093/jjfinec/nbn003

Easley, D., Hvidkjaer, S. & O’hara, M. (2002). Is Information Risk A Determinant of Asset Returns. The Journal of Finance, 57(5), 2185–2221. https://doi.org/10.2139/ssrn.249072

Easley, D., López de Prado, M. M. & O’hara, M. (2011). The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading. The Journal of Portfolio Management, 37(2), 118–128. https://doi.org/DOI:%252010.3905/jpm.2011.37.2.118

Eyvazlou, R., Raee, R. & Mohammadi, Sh. (2012). Calendar Effects on the Probability of Informed Trading. Securities Exchange Quarterly, 5(18), 5–17. (in Persian)

Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. The Journal of Finance, 25(02), 383–417. https://doi.org/10.2307/2325486

Foster, F. D. & Viswanathan, S. (1990). A Theory of the Interday Variations in Volume, Variance, and Trading Costs in Securities Markets. The Review of Financial Studies, 3(4), 593–624. https://doi.org/10.1093/rfs/3.4.593

Foster, F. D. & Viswanathan, S. (1994). Strategic Trading with Asymmetrically Informed Traders and Long-Lived Information. The Journal of Financial and Quantitative Analysis, 29(4), 499–518. https://doi.org/10.2307/2331107

Griffin, J., Oberoi, J. & Oduro, S. D. (2021). Estimating the probability of informed trading: A Bayesian approach. Journal of Banking & Finance, 125. https://doi.org/10.1016/j.jbankfin.2021.106045

Grossman, S. J. & Stiglitz, J. E. (1980). On the Impossibility of Informationally Efficient Markets. The American Economic Review, 70(3), 393–408.

Hwang, L.S., Lee, W.J., Lim, S.Y. & Park, K.-H. (2013). Does information risk affect the implied cost of equity capital? An analysis of PIN and adjusted PIN. Journal of Accounting and Economics, 55(2–3), 148–167. https://doi.org/10.1016/j.jacceco.2013.01.005

Iran Financial Data Processing Center. (2025). List of investment funds. https://fund.fipiran.ir/mf/list

Karyampas, D. & Paiardini, P. (2011). Probability of Informed Trading and Volatility for an ETF. https://www.researchgate.net/publication/254391845_Probability_of_Informed_ Trading_and_Volatility_for_an_ETF

Kordi-Temandani, H., Zamanian, G., & Hatefi Mojomard, M. (2018). Probability of informed trading as a measure of information asymmetry risk and the ranking of firms listed on the Tehran Stock Exchange. Financial Engineering and Securities Management (Portfolio Management), 9(37), 158–186. (in Persian)

Lof, M. & Van Bommel, J. (2023). Asymmetric information and the distribution of trading volume. Journal of Corporate Finance, 82. https://www.sciencedirect.com/science/ article/pii/S092911992300113X

Raee, R., Eyvazlou, R. & Mohammadi, Sh. (2013). Survey on Information Risk Using Microstructure Models. Journal of Management Research in Iran, 17(3), 71-85.
(in Persian)

Raee, R., Eyvazlu, R., & Abbaszade Asl, A. (2017). The relationship between information asymmetry and liquidity in the Tehran Stock Exchange using market microstructure models. Financial Knowledge of Securities Analysis, 10(34), 13–24. (in Persian)

Raee, R., Mohammadi, Sh. & Eyvazlu, R. (2013). Estimating Probability of Private Information Based Trade Using Microstructure Model. Financial Research Journal, 15(1), 17-28. https://doi.org/10.22059/jfr.2013.35430 (in Persian)

Rezaei, S., Mehrara, M., & Soori, A. (2020). Does disclosure reduce private information-based trading and symmetric order flow shock in the Tehran Stock Exchange? Quarterly Journal of Economic Modeling Research, 11(40), 33–66. (in Persian)

Taleblou, R., Shakeri, A., & Rahmaniani, M. (2019). A comparison of different methods for estimating the probability of informed trading in the Tehran Stock Exchange. Iranian Economic Research, 24(78), 1–29. https://doi.org/10.22054/ijer.2019.10161 (in Persian)

Touski, O. F., Janani, M. & Hemmatfar, M. (2020). Measuring and Explaining the Probability of Informed Trading and its Relationship with the Cost of Capital with an Emphasis on Family Ownership. International Journal of Nonlinear Analysis and Applications, 11, 63–79. https://doi.org/10.22075/ijnaa.2020.4525

Wang, T. & Huang, Z. (2012). The Relationship between Volatility and Trading Volume in the Chinese Stock Market: A Volatility Decomposition Perspective. Annals of Economics and Finance, 13(1), 217–242.

Wen, C., Jia, F. & Hao, J. (2020). Does VPIN provide predictive information for realized volatility forecasting: Evidence from Chinese stock index futures market. China Finance Review International, 13(2), 285–303. https://doi.org/10.1108/CFRI-05-2020-0049