Reflecting on the VPIN dispute
Year of publication: |
2014
|
---|---|
Authors: | Andersen, Torben G. ; Bondarenko, Oleg |
Published in: |
Journal of Financial Markets. - Elsevier, ISSN 1386-4181. - Vol. 17.2014, C, p. 53-64
|
Publisher: |
Elsevier |
Subject: | VPIN | PIN | High-frequency trading | Order flow toxicity | Order imbalance | Flash crash | VIX | Volatility forecasting |
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Andersen, Torben G., (2014)
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Reflecting on the VPIN Dispute
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