The best PIN model in the Korean stock market

Eom, Kyong Shik and Kang, Jangkoo and Kwon, Kyung Yoon (2016) The best PIN model in the Korean stock market. Asian Review of Financial Research, 29 (3). pp. 425-436.

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Abstract

We investigate the effectiveness of the original PIN model (Easley, Kiefer, O’Hara, and Paperman, 1996) and five variants of the adjusted PIN model (Duarte and Young, 2009) in the Korean stock market. Throughout the series of likelihood-ratio fitness tests, we find that the unrestricted version of the adjusted PIN model fits best in the Korean stock market data