Search Results - subject:"Flow toxicity"

A new way to compute the probability of informed trading

Bambade, Antoine - In: Journal of mathematical finance 9 (2019) 4, pp. 637-666

Persistent link: https://www.econbiz.de/10012433131

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 : … 7 (2013) 2, pp. 3-24

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

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

Reflecting on the VPIN Dispute

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

Evaluating VPIN as a trigger for single-stock circuit breakers

Abad Díaz, David; Perelló, Magdalena Massot; Pascual, … - In: Journal of banking & finance 86 (2018), pp. 21-36

Persistent link: https://www.econbiz.de/10011962329

BV-VPIN: measuring the impact of order flow toxicity and liquidity on international equity markets

Low, Rand Kwong Yew; Li, Te; Marsh, Terry Alan - In: Journal of risk 21 (2018/2019) 2, pp. 63-97

Persistent link: https://www.econbiz.de/10011981423

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

Discerning information from trade data

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial economics 120 (2016) 2, pp. 269-285

Persistent link: https://www.econbiz.de/10011590080

Optimal execution horizon

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672

Persistent link: https://www.econbiz.de/10011350553

Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245