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Lawrence Berkeley National Laboratory (Berkeley Lab)

1 Cyclotron Road

Berkeley, CA 94720

United States

SCHOLARLY PAPERS

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Scholarly Papers (2)

1.

A Big Data Approach to Analyzing Market Volatility

Algorithmic Finance (2013), 2:3-4, 241-267
Number of pages: 28 Posted: 07 Jun 2013
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 1,028 (11,336)
Citation 1

Abstract:

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high-performance computing, market microstructure, probability of informed trading, VPIN, liquidity, flow toxicity, volume imbalance, flash crash

2.

Testing VPIN on Big Data – Response to 'Reflecting on the VPIN Dispute'

Number of pages: 3 Posted: 31 Aug 2013
Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab), Lawrence Berkeley National Laboratory (Berkeley Lab) and Lawrence Berkeley National Laboratory (Berkeley Lab)
Downloads 286 (79,977)

Abstract:

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false positive rate, probability of informed trading, VPIN