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Keywords: PIN
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Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2017) 6 (2): 377–379.
Published: 05 September 2017
...David Easley; Marcos Lopez de Prado; Maureen O'Hara 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...
Journal Articles
Journal:
Critical Finance Review
Critical Finance Review (2017) 6 (2): 357–376.
Published: 05 September 2017
... Council of Taiwan for support under Grant NSC102-2410-H-305-019. They thank Ivo Welch and two anonymous referees for helpful comments. © 2017 Wen-Chyan Ke and Hsiou-Wei William Lin 2017 Wen-Chyan Ke and Hsiou-Wei William Lin Licensed re-use rights only VPIN PIN High-frequency trading...
Includes: Supplementary data
