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VPIN and the flash crash
10 references·9 citing·42 second hop
VPIN and the flash crash (2013)VPIN and the flash crashThe Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading (2019)The Microstructure of the ‘Fl…Flow Toxicity and Liquidity in a High-frequency World (2012)Flow Toxicity and Liquidity i…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…The Flash Crash: High-Frequency Trading in an Electronic Market (2011)The Flash Crash: High-Frequen…Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Answering the Skeptics: Yes, …Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Return Volatility and Trading…Liquidity, Information, and Infrequently Traded Stocks (1996)Liquidity, Information, and I…The Price Variability-Volume Relationship on Speculative Markets (1983)The Price Variability-Volume …The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis (1976)The Stochastic Dependence of …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)A Subordinated Stochastic Pro…Measuring Tail Risks at High Frequency (2018)Measuring Tail Risks at High …Implications of High-Frequency Trading for Security Markets (2018)Implications of High-Frequenc…Identifying Information Asymmetry in Securities Markets (2017)Identifying Information Asymm…Optimal Execution with Dynamic Order Flow Imbalance (2015)Optimal Execution with Dynami…Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm (2015)Evaluating trade classificati…A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering (2015)A faster estimation method fo…Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence (2014)Assessing Measures of Order F…Reflecting on the VPIN Dispute (2013)Reflecting on the VPIN DisputeFrom PIN to VPIN: An introduction to order flow toxicity (2012)From PIN to VPIN: An introduc…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Continuous Auctions and Insider Trading (1985)Market Liquidity and Funding Liquidity (2008)High frequency market microstructure (2015)The Economics of High-Frequency Trading: Taking Stock (2016)Why Do Individual Investors Disregard Accounting Information? The Roles of Information Awareness and Acquisition Costs (2017)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Statistical aspects of ARCH and stochastic volatility (1996)The Economic Value of Volatility Timing (2001)Macroeconomic Factors Do Influence Aggregate Stock Returns (2002)The Behavior of Stock-Market Prices (1965)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Option Pricing when the Variance Changes Randomly: Theory, Estimation, and an Application (1987)The variation of certain speculative prices (1997)Does Net Buying Pressure Affect the Shape of Implied Volatility Functions? (2004)Asset pricing and the bid-ask spread (1986)The Components of the Bid-Ask Spread: A General Approach (1997)Liquidity and stock returns: An alternative test (1998)Market microstructure: A survey (2000)On the Impossibility of Informationally Efficient Markets (1980)On the Impossibility of Informationally Efficient Markets (1980)Trading Volume and Serial Correlation in Stock Returns (1993)Bayesian Analysis of Stochastic Volatility Models (2002)Forecasting Volatility in Financial Markets: A Review (2003)The Analysis of Economic Time-Series-Part I: Prices (1953)An Intertemporal Capital Asset Pricing Model (1973)Option pricing when underlying stock returns are discontinuous (1976)Does Algorithmic Trading Improve Liquidity? (2011)High-Frequency Trading (2011)Very fast money: High-frequency trading on the NASDAQ (2013)Fact or friction: Jumps at ultra high frequency (2014)Price, trade size, and information in securities markets (1987)Time and the Process of Security Price Adjustment (1992)What's Not There: Odd Lots and Market Data (2014)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)Fact or Friction: Jumps at Ultra High Frequency (2011)An ecological perspective on the future of computer trading (2013)The Drift Burst Hypothesis (2016)
this work references cited by second hop

References

  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices2,781 cited
  • 1996Liquidity, Information, and Infrequently Traded Stocks1,591 cited
  • 1983The Price Variability-Volume Relationship on Speculative Markets1,450 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 cited
  • 1976The Stochastic Dependence of Security Price Changes and Transaction Volumes: Implications for the Mixture-of-Distributions Hypothesis931 cited
  • 2012Flow Toxicity and Liquidity in a High-frequency World573 cited
  • 2011The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading389 cited
  • 2011The Flash Crash: High-Frequency Trading in an Electronic Market327 cited
  • 2019The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading110 cited

Cited by

  • 2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm79 cited
  • 2017Identifying Information Asymmetry in Securities Markets67 cited
  • 2014Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence67 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

  • 2012From PIN to VPIN: An introduction to order flow toxicity60 cited
  • 2015A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering45 cited
  • 2013Reflecting on the VPIN Dispute37 cited
  • 2018Measuring Tail Risks at High Frequency31 cited
  • 2015Optimal Execution with Dynamic Order Flow Imbalance30 cited
  • 2018Implications of High-Frequency Trading for Security Markets28 cited