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Keywords: C51
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2017) 6 (2): 377–379.
Published: 05 September 2017
... Lopez de Prado, and Maureen O’Hara 2017 David Easley, Marcos Lopez de Prado, and Maureen O’Hara Licensed re-use rights only VPIN probability of informed trade PIN C51 C52 G12 Ke and Lin, hereafter referred to as KL, provide a valuable alternative approach to estimating...
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2017) 6 (2): 357–376.
Published: 05 September 2017
... Order flow toxicity C52 C13 G14 G12 C51 This study provides a theoretical basis and presents an effective estimation process for the transformation of the probability of informed trading (PIN) model to the volume-synchronized probability of informed trading (VPIN) setting based...
Includes: Supplementary data
