|
|
|
|
||||
|
||||
VPIN and the Flash Crash: A CommentDavid EasleyCornell University - Department of Economics Marcos Lopez de PradoHess Energy Trading Company; Lawrence Berkeley National Laboratory; RCC at Harvard University Maureen O'HaraCornell University - Samuel Curtis Johnson Graduate School of Management May 17, 2012 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 working papers seriesDate posted: May 18, 2012 ; Last revised: February 7, 2013Suggested CitationContact Information
|
|
|||||||||||||||||||||||||
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
FAQ
Terms of Use
Privacy Policy
Copyright
This page was processed by apollo8 in 0.532 seconds
