VPIN and the Flash Crash
Year of publication: |
2011-10-30
|
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Authors: | Andersen, Torben G. ; Bondarenko, Oleg |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | VPIN | PIN | High-Frequency Trading | Order Flow Toxicity | Order Imbalance | Flash Crash | VIX | Volatility Forecasting |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | 3 pages long |
Classification: | G01 - Financial Crises ; G12 - Asset Pricing ; G14 - Information and Market Efficiency; Event Studies ; G17 - Financial Forecasting ; c58 |
Source: |
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Andersen, Torben G., (2014)
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