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  • Search: subject:"Accuracy of Trade Classification"
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Accuracy of Trade Classification 1 Order Flow Toxicity 1 Order Imbalance 1 VPIN 1 Volatility Forecasting 1
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Free 1
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Book / Working Paper 1
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Undetermined 1
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Andersen, Torben G. 1 Bondarenko, Oleg 1
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School of Economics and Management, University of Aarhus 1
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CREATES Research Papers 1
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RePEc 1
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Assessing Measures of Order Flow Toxicity via Perfect Trade Classification
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
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 conclude it may help signal impending market...
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