Comments on 'Testing VPIN on Big Data - Response to Reflecting on the VPIN Dispute'

Abstract

Wu, Bethel, Gu, Leinweber, and Ruebel (2013b) provide a response to our commentary, "Reflecting on the VPIN Dispute.'' They interpret a few comments in our piece as questioning their VPIN implementation procedures. This is not the case. In fact, the results of WBGLR (2013a) are fully consistent with our general VPIN critique. On the other hand, it is correct that we deem their findings largely irrelevant for the key points of contention in the VPIN dispute.

WBGLR (2013b) further claim to identify errors with our procedures. These assertions are factually incorrect, so we seek to clarify these issues. That is the main purpose of our note. However, we also digress to reflect on the avalanche of anonymous and inflammatory messages that appear on internet sites whenever there is a change in status of one of our VPIN related papers.

Keywords: VPIN, High-Frequency Trading, Order Flow Toxicity, Flash Crash, Volatility Forecasting

JEL Classification: G01, G14, G17