Detecting Informed Trading Risk from Undercutting Activity
提出一个简单的知情交易风险度量指标，该指标基于流动性提供者减少报价改进活动的行为，能有效反映盈余公告前的信息不对称程度，并预测非计划新闻发布。
ABSTRACT We introduce a simple measure of informed trading risk, , the residual to liquidity quote‐improvement‐to‐deterioration ratio times . When facing with increased informed trading risk, liquidity providers compete less to provide liquidity, reducing their undercutting activity. Reductions in undercutting leave footprints in trade and quote data that are captured by . Unlike prior measures, is easy to construct, can be computed intraday, and is orthogonal to liquidity. The measure outperforms prominent existing alternatives in reflecting the extent of information asymmetry before earnings announcements, predicting unscheduled press releases, and identifying informed trading spillovers around them.