VPIN and the Flash Crash
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More about this item
KeywordsVPIN; PIN; High-Frequency Trading; Order Flow Toxicity; Order Imbalance; Flash Crash; VIX; Volatility Forecasting.;
- G01 - Financial Economics - - General - - - Financial Crises
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
- C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics
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