The sensitivity of VPIN to the choice of trade classification algorithm
Year of publication: |
December 2016
|
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Authors: | Pöppe, Thomas ; Moos, Sebastian ; Schiereck, Dirk |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 73.2016, p. 165-181
|
Subject: | Capital markets | Information asymmetry | Volume-synchronized probability of informed trading | VPIN | Trade classification | Asymmetrische Information | Asymmetric information | Wertpapierhandel | Securities trading | Theorie | Theory | Klassifikation | Classification | Finanzmarkt | Financial market |
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