VPIN and the Flash Crash: A rejoinder
Year of publication: |
2014
|
---|---|
Authors: | Easley, David ; López de Prado, Marcos M. ; O'Hara, Maureen |
Published in: |
Journal of Financial Markets. - Elsevier, ISSN 1386-4181. - Vol. 17.2014, C, p. 47-52
|
Publisher: |
Elsevier |
Subject: | Flash crash | Liquidity | Flow toxicity | Market microstructure | Probability of informed trading | VPIN |
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