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Keywords: High Frequency Data
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (1): 117–139.
Published: 28 February 2014
... high VPIN signifies a high risk of subsequent large futures market volatility. It means that VPIN is a useful measure to estimate a toxicity induced volatility. KOSPI200 Index Futures High Frequency Data VPIN Toxic Order Flow Volatility © 2014 Emerald Publishing Limited 2014 This article...
