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Keywords: VPIN
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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
...Wen-Chyan Ke; Hsiou-Wei William Lin This study provides a theoretical basis for the transformation of the probability of informed trading model to the volume-synchronized probability of informed trading (VPIN) setting based on volume buckets. Building on Easley et al. (2011 , 2012b ), who derive...
Includes: Supplementary data
