Does the Probability of Informed Trading Model Fit Empirical Data?
研究了知情交易概率（PIN）模型对实际交易数据的拟合效果，发现其存在结构性缺陷，拟合效果普遍较差，提醒研究者谨慎使用PIN估计值作为解释变量。
Abstract The probability of informed trading (PIN) is used widely as a measure of information asymmetry. Relatively little work has appeared on how well PIN models fit empirical trade data. We reveal structural limitations in PIN models by examining their marginal distributions and dependence structures represented by copulas. We develop a distribution‐free test of the goodness‐of‐fit of PIN models. Our results indicate that estimated PIN models have generally poor fit to actual trade data. These results suggest that researchers should be cautious when PIN estimates are plugged into empirical models as explanatory variables.