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Keywords: Trading behavior
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Journal Articles
Does VPIN provide predictive information for realized volatility forecasting: evidence from Chinese stock index futures market
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2023) 13 (2): 285–303.
Published: 18 November 2020
... that the augmented HAR model incorporating OI (HARX-RV) can generate more precise forecasts, which implies that the order imbalance measure contains substantial information for describing the volatility dynamics. Originality/value The study sheds light on the relation between high frequency trading behavior...
