Search Results - subject:"Order Flow Toxicity"

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

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

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Reflecting on the VPIN dispute

Andersen, Torben G.; Bondarenko, Oleg - In: Journal of Financial Markets 17 (2014) C, pp. 53-64

In Andersen and Bondarenko (2014), using tick data for S&P 500 futures, we establish that the VPIN metric of Easley, López 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...

Persistent link: https://www.econbiz.de/10011047538

VPIN and the flash crash

Andersen, Torben G.; Bondarenko, Oleg - In: Journal of Financial Markets 17 (2014) C, pp. 1-46

'Hara (2011a) as a real-time indicator of order flow toxicity. They find the measure useful in monitoring order flow imbalances … specific metric for order flow toxicity should be contingent on satisfactory performance relative to suitable benchmarks …

Persistent link: https://www.econbiz.de/10011047543