Search Results - subject:"Flow toxicity"

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013

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). Whether VPIN is more strongly correlated with volume...

Persistent link: https://www.econbiz.de/10011099292

Assessing Measures of Order Flow Toxicity via Perfect Trade Classification

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013

'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and …

Persistent link: https://www.econbiz.de/10010851243

Informed trading, flow toxucity and the impact on intraday trading factors

Wang Chun Wei; Gerace, Dionigi; Frino, Alex - In: Australasian accounting business and finance journal : AABF 7 (2013) 2, pp. 3-24

Persistent link: https://www.econbiz.de/10010246991

VPIN and the Flash Crash

Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011

Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful …

Persistent link: https://www.econbiz.de/10009644870