Parameter Analysis of the VPIN (Volume‐Synchronized Probability of Informed Trading) Metric

Song, Jung Heon; Wu, Kesheng; Simon, Horst D.

doi:10.1002/9781119080305.ch13

Quantitative Financial Risk Management 2015

DOI: 10.1002/9781119080305.ch13

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Parameter Analysis of the VPIN (Volume‐Synchronized Probability of Informed Trading) Metric

Jung Heon Song

Kesheng Wu

Horst D. Simon

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2018

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“…See ELO (2012a),Andersen and Bondarenko (2014),Low, Li, and Marsh (2016),Pöppe, Moos, and Schiereck (2016),Song, Wu, and Simon (2014), Wei, Gerace, and Frino (2013), and Wu et al (2013.…”

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confidence: 99%

Evaluating VPIN as a trigger for single-stock circuit breakers

Abad

Perelló

Pascual

2018

Journal of Banking & Finance

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This is a PDF file of an unedited manuscript that has been accepted for publication. As a service to our customers we are providing this early version of the manuscript. The manuscript will undergo copyediting, typesetting, and review of the resulting proof before it is published in its final form. Please note that during the production process errors may be discovered which could affect the content, and all legal disclaimers that apply to the journal pertain. Highlights  VPIN rarely signals abnormal illiquidity.  VPIN only occasionally anticipates price changes leading to actual trading halts.  The capacity of VPIN to anticipate truly toxic events is limited.  VPIN limits cannot substitute traditional price limits.  VPIN-based circuit breakers can be costly in terms of unnecessary trading cessations.

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“…See ELO (2012a),Andersen and Bondarenko (2014),Low, Li, and Marsh (2016),Pöppe, Moos, and Schiereck (2016),Song, Wu, and Simon (2014), Wei, Gerace, and Frino (2013), and Wu et al (2013.…”

mentioning

confidence: 99%

Evaluating VPIN as a trigger for single-stock circuit breakers

Abad

Perelló

Pascual

2018

Journal of Banking & Finance

View full text Add to dashboard Cite

show abstract

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Parameter Analysis of the VPIN (Volume‐Synchronized Probability of Informed Trading) Metric

Cited by 1 publication

References 18 publications

Evaluating VPIN as a trigger for single-stock circuit breakers

Evaluating VPIN as a trigger for single-stock circuit breakers

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