Example: confidence
VPIN

VPIN

Back to document page

the crash. According to this paper, order flow toxicity can be measured as the probability that informed traders (e.g., hedge funds) adversely select uninformed traders (e.g., Market makers). For that purpose, they developed the VPIN Flow Toxicity metric, which delivers a real-time estimate of the conditions under which liquidity is being provided.

  Flows

Download VPIN


Information

Domain:

Source:

Link to this page:

Please notify us if you found a problem with this document:

Other abuse

Advertisement

Related search queries