... by monitoring whether a time-series touches 4 trigger lines, which play a role as control limits in control chart. In other words, a time-series upwardly touches one of trigger line, then the framework take a short position on KOSPI200 Index Futures, while in case of downward touch, it takes a long position...

...Ki Yool Ohk; Ming Wu This study presents a new informed trading probability measure VPIN (Volume-Synchronized Probability of Informed Trading) to estimate toxic order flow of KOSPI200 index futures in a high frequency world. This measure does not require to estimate non-observable parameters as PIN...