Program > Papers by speaker > Zhang Jinyuan

This paper develops a structural model to examine price dynamics. The innovation lies in that trades' permanent price impact can be time-varying—dynamic trade informativeness. A distribution-free filtering technique pins the real-world data to the model. The filtered series demonstrate that the time-variation of trade informativeness accounts for a quarter of efficient price innovation; capture the intraday pattern of information asymmetry; improve the explanatory power of current trades for future returns; zoom in on informed trading around intraday events; and gauge informed investors' patience. The framework contributes to the better utilization of high-frequency trading data.