What does PIN identify? Evidence from the T-bill market

Ozgur Ozzy Akay, Ken B. Cyree, Mark D. Griffiths, Drew B. Winters

Research output: Contribution to journalArticlepeer-review

19 Scopus citations


The probability of informed trading (PIN) measure has been increasingly used in empirical research in finance. However, there is a growing debate as to whether PIN measures information-based or liquidity-based trading. We contribute to the discussion by estimating PIN using transaction data for one-month T-bills. Our PIN estimates exceed those reported for equities, despite it being unlikely that the probability of informed trading is higher in T-bills than equities. We conclude that PIN identifies trading clusters and that the source of the clustering depends on the economics of the market. The economics of the T-bill market suggest discretionary liquidity traders are the likely source of the clustering.

Original languageEnglish
Pages (from-to)29-46
Number of pages18
JournalJournal of Financial Markets
Issue number1
StatePublished - Feb 2012


  • Asymmetric information
  • Informed trading
  • Liquidity


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