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VPIN and the Flash Crash

Citations

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Cited by:

  1. Haochen Li & Yi Cao & Maria Polukarov & Carmine Ventre, 2023. "An Empirical Analysis on Financial Markets: Insights from the Application of Statistical Physics," Papers 2308.14235, arXiv.org, revised Dec 2023.
  2. Torben G. Andersen & Oleg Bondarenko, 2015. "Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence," Review of Finance, European Finance Association, vol. 19(1), pages 1-54.
  3. Ulze, Markus & Stadler, Johannes & Rathgeber, Andreas W., 2021. "No country for old distributions? On the comparison of implied option parameters between the Brownian motion and variance gamma process," The Quarterly Review of Economics and Finance, Elsevier, vol. 82(C), pages 163-184.
  4. Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," CeMMAP working papers 12/16, Institute for Fiscal Studies.
  5. Chang, Sanders S. & Wang, F. Albert, 2015. "Adverse selection and the presence of informed trading," Journal of Empirical Finance, Elsevier, vol. 33(C), pages 19-33.
  6. Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
  7. Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
  8. Yamada, Masahiro & Ito, Takatoshi, 2022. "Price discovery and liquidity recovery: Forex market reactions to macro announcements," Journal of International Money and Finance, Elsevier, vol. 120(C).
  9. Jangkoo Kang & Kyung Yoon Kwon & Wooyeon Kim, 2020. "Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 40(2), pages 164-191, February.
  10. Oliver Linton & Soheil Mahmoodzadeh, 2018. "Implications of High-Frequency Trading for Security Markets," Annual Review of Economics, Annual Reviews, vol. 10(1), pages 237-259, August.
  11. David-Jan Jansen, 2019. "Did Spillovers From Europe Indeed Contribute to the 2010 U.S. Flash Crash?," DNB Working Papers 622, Netherlands Central Bank, Research Department.
  12. Bellia, Mario & Christensen, Kim & Kolokolov, Aleksey & Pelizzon, Loriana & Renò, Roberto, 2022. "Do designated market makers provide liquidity during a flash crash?," SAFE Working Paper Series 270, Leibniz Institute for Financial Research SAFE, revised 2022.
  13. Prodromou, Tina & Westerholm, P. Joakim, 2022. "Are high frequency traders responsible for extreme price movements?," Economic Analysis and Policy, Elsevier, vol. 73(C), pages 94-111.
  14. Andersen, Torben G. & Bondarenko, Oleg, 2014. "Reflecting on the VPIN dispute," Journal of Financial Markets, Elsevier, vol. 17(C), pages 53-64.
  15. Mai, Nhat Chi, 2020. "Essays on the Vietnam Stock Market," OSF Preprints 3uaqt, Center for Open Science.
  16. Xin Li & Xingyuan He & Lu Zhou & Shushu Xie, 2022. "Impact of Epidemics on Enterprise Innovation: An Analysis of COVID-19 and SARS," Sustainability, MDPI, vol. 14(9), pages 1-28, April.
  17. Yang, Haijun & Xue, Feng, 2021. "Analysis of stock market volatility: Adjusted VPIN with high-frequency data," International Review of Economics & Finance, Elsevier, vol. 75(C), pages 210-222.
  18. Quan Gan & Wang Chun Wei & David Johnstone, 2015. "A faster estimation method for the probability of informed trading using hierarchical agglomerative clustering," Quantitative Finance, Taylor & Francis Journals, vol. 15(11), pages 1805-1821, November.
  19. Tobias Braun & Jonas A Fiegen & Daniel C Wagner & Sebastian M Krause & Thomas Guhr, 2018. "Impact and recovery process of mini flash crashes: An empirical study," PLOS ONE, Public Library of Science, vol. 13(5), pages 1-11, May.
  20. Mark Paddrik & Roy Hayes & William Scherer & Peter Beling, 2017. "Effects of limit order book information level on market stability metrics," Journal of Economic Interaction and Coordination, Springer;Society for Economic Science with Heterogeneous Interacting Agents, vol. 12(2), pages 221-247, July.
  21. Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
  22. Chen, Xiaohong & Linton, Oliver & Schneeberger, Stefan & Yi, Yanping, 2019. "Semiparametric estimation of the bid–ask spread in extended roll models," Journal of Econometrics, Elsevier, vol. 208(1), pages 160-178.
  23. Alexandru Stan, 2015. "A Price Crash Alerting Strategy for Agent-based Artificial Financial Markets," MIC 2015: Managing Sustainable Growth; Proceedings of the Joint International Conference, Portorož, Slovenia, 28–30 May 2015,, University of Primorska, Faculty of Management Koper.
  24. Santiago Velásquez & Juho Kanniainen & Saku Mäkinen & Jaakko Valli, 2018. "Layoff announcements and intra-day market reactions," Review of Managerial Science, Springer, vol. 12(1), pages 203-228, January.
  25. Xiaohong Chen & Oliver Linton & Stefan Schneeberger & Yanping Yi, 2016. "Simple Nonparametric Estimators for the Bid-Ask Spread in the Roll Model," Cowles Foundation Discussion Papers 2033, Cowles Foundation for Research in Economics, Yale University.
  26. Paparizos, Panagiotis & Dimitriou, Dimitrios & Kenourgios, Dimitris & Simos, Theodore, 2016. "On high frequency dynamics between information asymmetry and volatility for securities," The Journal of Economic Asymmetries, Elsevier, vol. 13(C), pages 21-34.
  27. Cakici, Nusret & Goswami, Gautam & Tan, Sinan, 2014. "Options resilience during extreme volatility: Evidence from the market events of May 2010," Journal of Banking & Finance, Elsevier, vol. 49(C), pages 262-274.
  28. Khaladdin Rzayev & Gbenga Ibikunle, 2021. "Order aggressiveness and flash crashes," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(2), pages 2647-2673, April.
  29. Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
  30. Yildiz, Serhat & Van Ness, Bonnie & Van Ness, Robert, 2020. "VPIN, liquidity, and return volatility in the U.S. equity markets," Global Finance Journal, Elsevier, vol. 45(C).
  31. Chakrabarty, Bidisha & Pascual, Roberto & Shkilko, Andriy, 2015. "Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm," Journal of Financial Markets, Elsevier, vol. 25(C), pages 52-79.
  32. Thomas Pöppe & Michael Aitken & Dirk Schiereck & Ingo Wiegand, 2016. "A PIN per day shows what news convey: the intraday probability of informed trading," Review of Quantitative Finance and Accounting, Springer, vol. 47(4), pages 1187-1220, November.
  33. Herrmann, Klaus & Teis, Stefan & Yu, Weijun, 2014. "Components of intraday volatility and their prediction at different sampling frequencies with application to DAX and BUND futures," FAU Discussion Papers in Economics 15/2014, Friedrich-Alexander University Erlangen-Nuremberg, Institute for Economics.
  34. Chang, Sanders S. & Albert Wang, F., 2019. "Informed contrarian trades and stock returns," Journal of Financial Markets, Elsevier, vol. 42(C), pages 75-93.
  35. Steffen, Viktoria, 2023. "A literature review on extreme price movements with reversal," Journal of Behavioral and Experimental Finance, Elsevier, vol. 38(C).
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