Evaluating VPIN as a trigger for single-stock circuit breakers

Autor: Magdalena Massot, Roberto Pascual, David Abad

Publikováno v: RUA. Repositorio Institucional de la Universidad de Alicante
Universidad de Alicante (UA)

We evaluate the order flow toxicity metric called VPIN (Easley, Lopez de Prado, and O’Hara, 2012a, Review of Financial Studies 25, 1457-1493) as a potential trigger for single-stock circuit breakers. When signaling toxicity, we show that the VPIN i

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::fd308440633c7b5b49192c906e49b3a9
http://hdl.handle.net/10045/69851

Reflecting on the VPIN dispute

Autor: Torben G. Andersen, Oleg Bondarenko

Publikováno v: Andersen, T G & Bondarenko, O 2014, ' Reflecting on the VPIN dispute ', Journal of Financial Markets, vol. 17, no. 1, pp. 53-64 . https://doi.org/10.1016/j.finmar.2013.08.002

In Andersen and Bondarenko (2014) , using tick data for S&P 500 futures, we establish that the VPIN metric of Easley, Lopez de Prado, and O'Hara (ELO), by construction, will be correlated with trading volume and return volatility (innovations). Wheth

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::28ebd30bc8f6117ceb4e0f5adcb5c6dc
https://doi.org/10.1016/j.finmar.2013.08.002

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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification

Autor: Andersen, Torben G., Bondarenko, Oleg

Publikováno v: Andersen, T G & Bondarenko, O 2013 ' Assessing Measures of Order Flow Toxicity via Perfect Trade Classification ' Institut for Økonomi, Aarhus Universitet, Aarhus .

The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclu

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::63450e39b3e14372631c687107b17865
https://pure.au.dk/portal/da/publications/assessing-measures-of-order-flow-toxicity-via-perfect-trade-classification(46c6a4ad-b07f-4be8-aab9-a9305b5d84e1).html

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