Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
, 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 or volatility depends on the exact implementation. Hence, it is crucial … for the interpretation of VPIN as a harbinger of market turbulence or as a predictor of short-term volatility to control …