VPIN and the flash crash
Year of publication: |
2014
|
---|---|
Authors: | Andersen, Torben ; Bondarenko, Oleg ; O'Hara, Maureen |
Other Persons: | Easley, David (contributor) ; Prado, Marcos M. López de (reviewed) |
Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 17.2014, p. 1-46
|
Subject: | VPIN | PIN | High-frequency trading | Order flow toxicity | Order imbalance | Flash crash | VIX | Volatility forecasting | Volatilität | Volatility | Finanzkrise | Financial crisis | Elektronisches Handelssystem | Electronic trading | Marktmikrostruktur | Market microstructure | Prognoseverfahren | Forecasting model | Börsenkurs | Share price | Wertpapierhandel | Securities trading |
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