VPIN and the China’s Circuit-Breaker

Zheng, Yian

doi:10.5539/ijef.v9n12p126

Cited by 3 publications

(5 citation statements)

References 3 publications

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“…According to Dingxin Zhao (2017), a political party may very easily be hijacked by its original ideological discourse. During recent years, Chinese politics have indicated a 'left-leaning' tendency (Zheng, 2017), which perfectly embodies the practical influence of traditional ideological discourse. While migrant workers are, as a matter of fact, not workers in the traditional sense in China's political context, Document No.…”

Section: Previous Studies On Discourse and Labor Protestsmentioning

confidence: 99%

The dual discourse phenomenon and its deep logic in the rights protection of migrant workers in the Pearl River Delta

Cao

Chen

2022

Economic and Industrial Democracy

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The increasing popularity of the Internet and the rapid development of social media in China have given more power of discourse to migrant workers, who have traditionally been in a disadvantageous position in terms of labor conflict. Based on a textual analysis of a typical strike, this article finds that, during collective protest, the discourse of migrant workers is dual, as it consists of both a traditional class discourse and a modern legal discourse. When using traditional class discourse, they do so to justify their actions and win the sympathy and support of public opinion. When applying modern legal discourse, they do so to cater to the governing concept of rule by law in contemporary China and use it as a means to advocate practical economic interests. This dual discourse is a reflection of the political reality in contemporary China, and points to the contradiction faced by China’s ruling party in the transition period.

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Section: Previous Studies On Discourse and Labor Protestsmentioning

confidence: 99%

The dual discourse phenomenon and its deep logic in the rights protection of migrant workers in the Pearl River Delta

Cao

Chen

2022

Economic and Industrial Democracy

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“…It appeared it could predict the "flash crash" of May 6, 2010, a few hours before it happened [2]. A lot of papers were published [3][4][5], and it was proposed to use it for regulation through a VPIN contract [2,6]. However, critics pointed out some flaws, questioning its reliability [7][8][9][10][11] but without providing a quantitative evaluation of the prediction quality (e.g., in terms of precision and recall rates).…”

Section: Main Study Purposementioning

confidence: 99%

“…• For each θ MIR ∈ 5:2%; 6:2% ½ with step 0.1% for ES instrument, θ MIR ∈ 2:2%; 3:2% ½ with step 0.1% for CL instrument, θ MIR ∈ 0:4%; 0:9% ½ with 2 If j À ω < 0, the window of buckets considered is [0,j-1]. 3 If j þ ω>endOfDataSet, the window of buckets considered is [j + 1,endOfDataSet]. step 0.1% for EC instrument, θ MIR ∈ 8%; 9% ½ with step 0.1% for NQ instrument, θ MIR ∈ 5:4%; 6:4% ½ with step 0.1% for YM instrument 5 do:…”

Section: Describing Deep Search Of Flash Crash Predictionmentioning

confidence: 99%

An Assessment of the Prediction Quality of VPIN

Bambade¹,

Wu²

2019

Advanced Analytics and Artificial Intelligence Applications

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VPIN is a tool designed to predict extreme events like flash crashes. Some concerns have been raised about its reliability. In this chapter we assess VPIN prediction quality (precision and recall rates) of extreme volatility events including its sensitivity to the starting point of computation in a given data set. We benchmark the results with the ones of a "naive classifier." The test data used in this study contains 5.6 year's worth of trading data of the five most liquid futures contracts of this time period. We found that VPIN has poor "flash crash" prediction power with the traditional 0.99 decision threshold. Increasing the decision threshold does not significantly improve overall prediction quality. Nevertheless we found VPIN has a more interesting predictive power for flash events of lower amplitude. Finally, we found that, for practice, the last bar price structure is the least sensitive to the starting point of computation.

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“…It appeared it could predict the "Flash Crash" of May, 6 2010 a few hours before it happened [4]. A number of papers have been written [5] [6] [7], and it is proposed to use it for regulation through a VPIN contract [4] [8]. However, critics pointed out some flaws, questioning its reliability.…”

Section: Probability Of Informed Trading (Pin) a High Value Of The Pmentioning

confidence: 99%

“…the asymptotic limit5 found within the time clock framework for different cases of  and µ . It is pretty easy to do, as controlling ex-ante all the parameters of the model one then just has to generate the appropriate Poisson processes to obtain all the values.…”

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confidence: 99%

A New Way to Compute the Probability of Informed Trading

Bambade¹

2019

JMF

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Volume-Synchronized Probability of Informed Trading (VPIN) is a tool designed to predict extreme events like flash crashes in high-frequency trading. Its aim is to estimate the Probability of Informed Trading (PIN), which was built from a probabilistic framework. Some concerns have been raised about its theoretical foundations and its reliability. More precisely, it has been shown that theoretically the VPIN does not approximate the PIN as the PIN has been built with a time-clock framework and the VPIN with a volume clock one. On a practical point of view, the VPIN has been found to be sensitive to the starting point of computation of a data set and to different parameters, such as the classification rule. In this paper, in order to improve the PIN theoretical framework, we firstly analyze the theoretical foundations of the PIN and the VPIN models to have a better view of all its different assumption subtleties. It secondly makes it possible to point out some approximation flaws in the formula used to approximate the PIN and to propose another exact way to compute the PIN. All different results are illustrated with simulations.

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VPIN and the China’s Circuit-Breaker

Cited by 3 publications

References 3 publications

The dual discourse phenomenon and its deep logic in the rights protection of migrant workers in the Pearl River Delta

The dual discourse phenomenon and its deep logic in the rights protection of migrant workers in the Pearl River Delta

An Assessment of the Prediction Quality of VPIN

A New Way to Compute the Probability of Informed Trading

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