Author:
Andersen Torben G.,Bondarenko Oleg
Subject
Economics and Econometrics,Finance
Reference19 articles.
1. From PIN to VPIN;Abad;Spanish Review of Financial Economics,2012
2. Return volatility and trading volume;Andersen;Journal of Finance,1996
3. Answering the skeptics;Andersen;International Economic Review,1998
4. Andersen, T.G., Bondarenko, O., 2013. Assessing VPIN Measurement of Order Flow Toxicity via Perfect Trade Classification. Working Paper, Kellogg School of Management, Northwestern University, and College of Business Administration, University of Illinois at Chicago.
5. Andersen, T.G., Bondarenko, O., 2014. VPIN and the flash crash. Journal of Financial Markets.
Cited by
30 articles.
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