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Keywords: Toxic Order Flow
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2014) 22 (1): 117–139.
Published: 28 February 2014
...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...
