Update search
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
Filter
- All
- Title
- Author
- Author Affiliations
- Full Text
- Abstract
- Keyword
- DOI
- ISBN
- EISBN
- ISSN
- EISSN
- Issue
- Volume
- References
NARROW
Format
Journal
Type
Date
Availability
1-2 of 2
Keywords: VPIN
Close
Follow your search
Access your saved searches in your account
Would you like to receive an alert when new items match your search?
Sort by
Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2019) 27 (4): 365–400.
Published: 30 November 2019
...Jaeram Lee This study estimates the VPIN (volume-synchronized probability of informed trading) of the KOSPI200 index options, the measure of order flow toxicity suggested by Easley et al. (2012), for the first time. To apply the VPIN approach, options are categorized by their real-time moneyness. I...
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...
