VPIN, liquidity, and return volatility in the U.S. equity markets
Author:
Publisher
Elsevier BV
Subject
Economics and Econometrics,Finance
Reference54 articles.
1. Evaluating VPIN as a trigger for single-stock circuit breakers;Abad;Journal of Banking & Finance,2018
2. From PIN to VPIN: An introduction to order flow toxicity;Abad;The Spanish Review of Financial Economics,2012
3. Illiquidity and stock returns: Cross-section and time-series effects;Amihud;Journal of Financial Markets,2002
4. VPIN and the flash crash;Andersen;Journal of Financial Markets,2014
5. Assessing measures of order flow toxicity and early warning signals for market turbulence;Andersen;Review of Finance,2015
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