PIN-measure and Informativeness of Russian Financial Markets

Student: Shchupko Ilya

Faculty: International College of Economics and Finance

Educational Programme: Double degree programme in Economics of the NRU HSE and the University of London (Bachelor)

Year of Graduation: 2016

This paper is dedicated to estimation and testing of PIN and VPIN measures on the Russian Stock Markets. This is a very interesting issue, taking into account relatively young Russian financial system. Understanding the behaviour of modern information risk measures on this market is essential for further analysis of price dynamics. In this paper we estimate PIN and VPIN measures for 3 stocks, which are representatives of different liquidity classes. While PIN measure shows no considerable changes around major economic events, VPIN measure seems to be very significant. Another goal of this paper is to try to undertand, what unobservable market parameters do PIN and VPIN measures reflect. To do this, we ran simulations of market activity. Our research suggests that PIN measure is ineffective in measuring the price impact of High Frequency Traders, but is good at catching changes in the proportion of insiders among HFTs, while VPIN measure is useful at determining the price impact and does not indicate significant difference in HFT insiders proportion.

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