From PIN to VPIN: An introduction to order flow toxicity-Reference-Cited by-同舟云学术

From PIN to VPIN: An introduction to order flow toxicity

Published:2012-07 Issue:2 Volume:10 Page:74-83
ISSN:2173-1268
Container-title:The Spanish Review of Financial Economics
language:en
Short-container-title:The Spanish Review of Financial Economics

Author:

Abad David,Yagüe José

Publisher

Elsevier BV

Subject

Economics and Econometrics,Finance

Reference40 articles.

1. Modelos de estimación de la probabilidad de negociación informada: una comparación metodológica en el mercado español;Abad;Revista de Economía Financiera,2005

2. What does PIN identify? Evidence from the T-bill market;Akay;Journal of Financial Markets,2012

3. The PIN anomaly around M&A announcements;Aktas;Journal of Financial Markets,2007

4. Illiquidity and stock returns: cross-section and time-series effects;Amihud;Journal of Financial Markets,2002

5. Andersen, T., Bondarenko, O., 2011. VPIN and the flash crash. Unpublished Working Paper. Available at SSRN: http://ssrn.com/abstract=1881731.

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