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ArticleVPIN and the flash crash

Torben G. Andersen2013

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Articlegreen2013

VPIN and the flash crash

Torben G. Andersen · Oleg Bondarenko

100 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Stock Market Forecasting Methods

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References

1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1996Liquidity, Information, and Infrequently Traded Stocks 1983The Price Variability-Volume Relationship on Speculative Markets 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis 2012Flow Toxicity and Liquidity in a High-frequency World 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading

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2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm 2017Identifying Information Asymmetry in Securities Markets 2014Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence 2012From PIN to VPIN: An introduction to order flow toxicity 2015

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Year2013

Typearticle

Published2013-06-06

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations100

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/j.finmar.2013.05.005

openalex_workW1590077934

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A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering

2013Reflecting on the VPIN Dispute

2018Measuring Tail Risks at High Frequency

2015Optimal Execution with Dynamic Order Flow Imbalance