Measuring the Toxicity of Order Flow using High Frequency Data: The Case of KOSPI200 Index Futures
2014 ◽
Vol 22
(1)
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pp. 117-139
Keyword(s):
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.
2019 ◽
Vol 10
(2)
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pp. 175-196
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2017 ◽
Vol 9
(12)
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pp. 126
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2016 ◽
Vol 6
(3)
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pp. 264-283
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2020 ◽
Vol 13
(2)
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pp. 178
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2018 ◽
Vol 492
◽
pp. 1664-1678
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2016 ◽
Vol 55
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pp. 222-242
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Keyword(s):
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