An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment

Ke and Lin provide a valuable alternative approach to estimating the Volume-Synchronized Probability of Informed Trading (VPIN) measure. As we did with estimation of VPIN's predecessor, PIN, they estimate the parameters underlying their modified VPIN measure. This allows Ke and Lin to extract more information from the available data than we extracted with our direct approximation to VPIN. For markets in which the parameters can be reliably estimated their approach seems both a valuable and viable modification.