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VPIN and the Flash Crash: A rejoinder
12 references·4 citing·48 second hopsampled
VPIN and the Flash Crash: A rejoinder (2013)VPIN and the Flash Crash: A rejoinderThe Flash Crash: A Cautionary Tale About Highly Fragmented Markets (2018)The Flash Crash: A Cautionary…The Volume Clock: Insights into theHigh-Frequency Paradigm (2012)The Volume Clock: Insights in…From PIN to VPIN: An introduction to order flow toxicity (2012)From PIN to VPIN: An introduc…Flow Toxicity and Liquidity in a High-frequency World (2012)Flow Toxicity and Liquidity i…Bulk Classification of Trading Activity (2012)Bulk Classification of Tradin…The Microstructure of the “Flash Crash”: Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading (2011)The Microstructure of the “Fl…The Exchange of Flow Toxicity (2011)The Exchange of Flow ToxicityExchange-Traded Funds, Market Structure and the Flash Crash (2011)Exchange-Traded Funds, Market…Time-Varying Arrival Rates of Informed and Uninformed Trades (2007)Time-Varying Arrival Rates of…Time and the Process of Security Price Adjustment (1992)Time and the Process of Secur…Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects (1990)Heteroskedasticity in Stock R…The Relation Between Price Changes and Trading Volume: A Survey (1987)The Relation Between Price Ch…Technology and automation in financial trading: A bibliometric review (2024)Technology and automation in …Circuit breakers as market stability levers: A survey of research, praxis, and challenges (2018)Circuit breakers as market st…The sensitivity of VPIN to the choice of trade classification algorithm (2016)The sensitivity of VPIN to th…Optimal Execution with Dynamic Order Flow Imbalance (2015)Optimal Execution with Dynami…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)Expected stock returns and volatility (1987)An Empirical Analysis of the Limit Order Book and the Order Flow in the Paris Bourse (1995)5 Stochastic volatility (1996)Realized Variance and Market Microstructure Noise (2006)The Behavior of Stock-Market Prices (1965)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Chapter 49 Arch models (1994)Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility (1996)Idiosyncratic Risk Matters! (2003)Price, trade size, and information in securities markets (1987)Illiquidity and stock returns: cross-section and time-series effects (2002)Is Information Risk a Determinant of Asset Returns? (2002)OPTIMAL EXECUTION HORIZON (2012)Reflecting on the VPIN Dispute (2013)Does Algorithmic Trading Improve Liquidity? (2011)Is market fragmentation harming market quality? (2011)The Flash Crash: High-Frequency Trading in an Electronic Market (2011)Latency arbitrage, market fragmentation, and efficiency (2013)A survey of network-based analysis and systemic risk measurement (2016)The Information Content of Annual Earnings Announcements (1968)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Differences of Opinion Make a Horse Race (1993)Market liquidity and volume around earnings announcements (1994)Autoregressive Conditional Duration: A New Model for Irregularly Spaced Transaction Data (1998)Liquidity, Information, and Infrequently Traded Stocks (1996)Fact or friction: Jumps at ultra high frequency (2014)What's Not There: Odd Lots and Market Data (2014)Oxford Dictionary of National Biography (2004)Abrupt rise of new machine ecology beyond human response time (2013)Microstructure in the Machine Age (2020)Deep learning in the stock market—a systematic survey of practice, backtesting, and applications (2022)The equity premium: A puzzle (1985)Tests for Parameter Instability and Structural Change With Unknown Change Point (1993)Smooth Trading with Overconfidence and Market Power (2013)Cultures of high-frequency trading: mapping the landscape of algorithmic developments in contemporary financial markets (2016)Disrupting Finance (2018)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Inferring Trade Direction from Intraday Data (1991)Toxic Arbitrage (2016)Informed trading in the Bitcoin market (2017)Glued to the TV: Distracted Noise Traders and Stock Market Liquidity (2019)
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References

  • 1987The Relation Between Price Changes and Trading Volume: A Survey2,380 cited
  • 1992Time and the Process of Security Price Adjustment1,225 cited
  • 1990Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects1,113 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
  • 2007Time-Varying Arrival Rates of Informed and Uninformed Trades264 cited
  • 2012The Volume Clock: Insights into theHigh-Frequency Paradigm124 cited
  • 2018The Flash Crash: A Cautionary Tale About Highly Fragmented Markets123 cited
  • 2011Exchange-Traded Funds, Market Structure and the Flash Crash63 cited
  • 2012From PIN to VPIN: An introduction to order flow toxicity60 cited
  • 2011The Exchange of Flow Toxicity47 cited
  • 2012Bulk Classification of Trading Activity42 cited

Cited by

  • 2015Optimal Execution with Dynamic Order Flow Imbalance30 cited
  • 2018Circuit breakers as market stability levers: A survey of research, praxis, and challenges27 cited
  • 2016The sensitivity of VPIN to the choice of trade classification algorithm

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23 cited
  • 2024Technology and automation in financial trading: A bibliometric review20 cited