Abstract

http://ssrn.com/abstract=2062450
 
 

Citations (1)



 


 



VPIN and the Flash Crash: A Comment


David Easley


Cornell University - Department of Economics

Marcos Lopez de Prado


Guggenheim Partners, LLC; Lawrence Berkeley National Laboratory; RCC at Harvard University

Maureen O'Hara


Cornell University - Samuel Curtis Johnson Graduate School of Management

May 17, 2012

Journal of Financial Markets, Forthcoming
Johnson School Research Paper Series No. 25-2012

Abstract:     
Recently Andersen and Bondarenko posted a paper on SSRN with the title “VPIN and the Flash Crash” which is essentially a comment on our earlier work on the measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially doesn’t work. We appreciate the interest in our work, but feel strongly that they are confused by what we do and are incorrect in their claims and findings. Far from “replicating” our results, AB attack a methodology we do not advocate, an analysis we never performed, and conclusions we did not draw. We believe it useful, therefore, to set the record straight.

Number of Pages in PDF File: 8

Keywords: Flash crash, liquidity, flow toxicity, market microstructure, probability of informed trading, VPIN

JEL Classification: C02, D52, D53, G14

Accepted Paper Series


Download This Paper

Date posted: May 18, 2012 ; Last revised: September 29, 2013

Suggested Citation

Easley, David and Lopez de Prado, Marcos and O'Hara, Maureen, VPIN and the Flash Crash: A Comment (May 17, 2012). Journal of Financial Markets, Forthcoming; Johnson School Research Paper Series No. 25-2012. Available at SSRN: http://ssrn.com/abstract=2062450 or http://dx.doi.org/10.2139/ssrn.2062450

Contact Information

David Easley (Contact Author)
Cornell University - Department of Economics ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6283 (Phone)
607-255-2818 (Fax)
Marcos Lopez de Prado
Guggenheim Partners, LLC ( email )
330 Madison Avenue
New York, NY 10017
United States
HOME PAGE: http://www.QuantResearch.info
Lawrence Berkeley National Laboratory ( email )
One Cyclotron Road
Berkeley, CA 94720
United States
HOME PAGE: http://www.lbl.gov
RCC at Harvard University ( email )
26 Trowbridge Street
Cambridge, MA 02138
United States
HOME PAGE: http://www.rcc.harvard.edu
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)
Feedback to SSRN


Paper statistics
Abstract Views: 4,071
Downloads: 1,571
Download Rank: 5,042
Citations:  1

© 2014 Social Science Electronic Publishing, Inc. All Rights Reserved.  FAQ   Terms of Use   Privacy Policy   Copyright   Contact Us
This page was processed by apollo2 in 0.359 seconds