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Reflecting on the VPIN Dispute
12 references·1 citing·38 second hop
Reflecting on the VPIN Dispute (2013)Reflecting on the VPIN DisputeThe Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading (2019)The Microstructure of the ‘Fl…The Flash Crash: A Cautionary Tale About Highly Fragmented Markets (2018)The Flash Crash: A Cautionary…Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm (2015)Evaluating trade classificati…Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence (2014)Assessing Measures of Order F…VPIN and the flash crash (2013)VPIN and the flash crashFrom 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 ToxicityAnswering 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…Measuring Tail Risks at High Frequency (2018)Measuring Tail Risks at High …A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)Liquidity, Information, and Infrequently Traded Stocks (1996)Identifying Information Asymmetry in Securities Markets (2017)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)Modeling and Forecasting Realized Volatility (2003)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)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)VPIN and the Flash Crash: A rejoinder (2013)Inferring Trade Direction from Intraday Data (1991)Measuring the Information Content of Stock Trades (1991)How Is Earnings News Transmitted to Stock Prices? (2017)Time and the Process of Security Price Adjustment (1992)Fact or friction: Jumps at ultra high frequency (2014)What's Not There: Odd Lots and Market Data (2014)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)Fact or Friction: Jumps at Ultra High Frequency (2011)An ecological perspective on the future of computer trading (2013)Nonlinear manifold learning for early warnings in financial markets (2016)Unleashing Animal Spirits: Self-Control and Overpricing in Experimental Asset Markets (2018)
this work references cited by second hop

References

  • 1998Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts3,380 cited
  • 1996Return Volatility and Trading Volume: An Information Flow Interpretation of Stochastic Volatility1,021 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
  • 2018The Flash Crash: A Cautionary Tale About Highly Fragmented Markets123 cited
  • 2019The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading110 cited
  • 2013VPIN and the flash crash100 cited
  • 2015Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm79 cited
  • 2014Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence67 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

  • 2018Measuring Tail Risks at High Frequency31 cited

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