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VPIN and the Flash Crash: A rejoinder

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of Financial Markets 17 (2014) C, pp. 47-52

Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on our 2011 Journal of Portfolio …

Persistent link: https://www.econbiz.de/10011047542

VPIN and the flash crash

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

the flash crash. More generally, they show that VPIN is significantly correlated with future short-term return volatility … did not reach an all-time high prior, but rather after, the flash crash, and that its predictive content is due primarily …

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

The flash crash : an examination of shareholder wealth and market quality

Boulton, Thomas J.; Braga-Alves, Marcus V.; Kulchania, Manoj - In: Journal of financial intermediation 23 (2014) 1, pp. 140-156

Persistent link: https://www.econbiz.de/10010400966

The flash crash : trading aggressiveness, liquidity supply, and the impact of intermarket sweep orders

McInish, Thomas H.; Upson, James; Wood, Robert A. - In: The financial review : the official publication of the … 49 (2014) 3, pp. 481-509

Persistent link: https://www.econbiz.de/10010401378

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

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

VPIN and the Flash Crash : a rejoinder

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 47-52

Persistent link: https://www.econbiz.de/10010436247

Market microstructure design and flash crashes: A simulation approach

Brewer, Paul; Cvitanic, Jaksa; Plott, Charles R. - In: Journal of Applied Economics XVI (2013) November, pp. 223-250

occurrence of a “flash crash”. We use a simulation platform that creates random arrivals of trade orders, that allows us to …

Persistent link: https://www.econbiz.de/10010717735

Market microstrucutre design and flash crashes : a simulation approach

Brewer, Paul J.; Cvitanić, Jakša; Plott, Charles - In: Journal of applied economics 16 (2013) 2, pp. 223-250

Persistent link: https://www.econbiz.de/10010391223

Efficient Markets and the Law: A Predictable Past and an Uncertain Future

Hu, Henry T.C. - In: Annual Review of Financial Economics 4 (2012) 1, pp. 179-214

weakened in the face of recent market anomalies and stress. The May 2010 flash crash is not easily reconciled with the EMH, and …

Persistent link: https://www.econbiz.de/10010603964

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