The Probability of Informed Trading Based on VAR Model

Selecting CCER high-frequency trading data of Shanghai Security Trading Market from 2003.7.1 to 2003.12.31 and adopting VAR model, the paper researches the representative variable of the probability of informed trading, The results show: the probability of informed trading is about 0.172713; the more asymmetric information is, the larger the spread is; the probability of informed trading is the well-known U-shape; it is the biggest before the announcement.