scholarly journals Using High-Frequency Transaction Data to Estimate the Probability of Informed Trading

2009 ◽  
Vol 7 (3) ◽  
pp. 288-311 ◽  
Author(s):  
A. Tay ◽  
C. Ting ◽  
Y. K. Tse ◽  
M. Warachka
Keyword(s):  
High Frequency ◽  
Informed Trading ◽  
Transaction Data ◽  
Probability Of Informed Trading

Measuring the Toxicity of Order Flow using High Frequency Data: The Case of KOSPI200 Index Futures

2014 ◽  
Vol 22 (1) ◽  
pp. 117-139
Author(s):  
Ki Yool Ohk ◽  
Ming Wu
Keyword(s):  
High Frequency ◽  
Futures Market ◽  
Informed Trading ◽  
Market Volatility ◽  
High Frequency Data ◽  
Order Flow ◽  
Frequency Data ◽  
Conditional Probability Distribution ◽  
Index Futures ◽  
Probability Of Informed Trading

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. Also, it is estimated based on volume time, so it can estimate toxicity of order flow in a high frequency world. We show a relation between KOSPI200 index futures VPIN and futures market volatility using correlation and conditional probability distribution. A main empirical result is that persistently high VPIN signifies a high risk of subsequent large futures market volatility. It means that VPIN is a useful measure to estimate a toxicity induced volatility.

scholarly journals VPIN and the China’s Circuit-Breaker

2017 ◽  
Vol 9 (12) ◽  
pp. 126 ◽  
Author(s):  
Yameng Zheng
Keyword(s):  
High Frequency ◽  
Circuit Breaker ◽  
Futures Market ◽  
Informed Trading ◽  
Stock Index ◽  
Stock Index Futures ◽  
Index Futures ◽  
Trading Market ◽  
Probability Of Informed Trading

The market microstructure theory and high-frequency trading analyze as quantitative investment’s frontier and hot issue is popular in China in recent years, but China’s stock index futures introduced later, so there are not much academic attention. This paper measures the probability of informed trading in China’s stock index futures market by VPIN method. The empirical results show that the VPIN can not only monitor the probability of the informed trading market of IF 300, IH 50 and IC 500, but also play an early warning role before the “circuit-breaker”. Tracking VPIN values allows the liquidity providers to control their position risk, and regulators can monitor the liquidity quality of the market, limit transactions in advance or tighten market controls.

Multivariate Hawkes process model of market participants behavior in the high frequency world

2021 ◽  
Vol 08 (01) ◽  
pp. 2050054
Author(s):  
Sugato Chakravarty ◽  
Kiseop Lee ◽  
Yang Xi
Keyword(s):  
Public Sector ◽  
High Frequency ◽  
Process Model ◽  
Hawkes Process ◽  
Transaction Data ◽  
The Public ◽  
Market Participants ◽  
Public Sector Banks ◽  
Average Return ◽  
Causality Relationship

We propose a multivariate Hawkes process to model the interaction between the non-high frequency traders (NHFTs) behavior (Buy and sell) and high frequency traders (HFTs) behavior (Buy and sell). We apply our model to the intraday transaction data of the public sector banks stock in India, which is sampled from March 2012 to June 2012. We find that the mutually-exciting NHFT and HFT behaviors benefit the stocks, which have better average return above the average return of the public sector bank index. We further identify the granger causality relationship for mutually exciting dominating stocks that HFTs activities cause the activities of NHFTs. In other words, NHFTs are market followers in those stocks.

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