This paper develops a new approach for variance trading. We show that the discretely-sampled realized variance can be robustly replicated under very general conditions, including when the price can jump. The replication strategy specifies the exact timing for rebalancing in the underlying. The...

The Volume-Synchronized Probability of Informed trading (VPIN) metric is introduced by Easley, Lopez de Prado, and O'Hara (2011a) as a real-time indicator of order flow toxicity. They find the measure useful in monitoring order flow imbalances and conclude it may help signal impending market...

Wu, Bethel, Gu, Leinweber, and Ruebel (2013b) provide a response to our commentary, "Reflecting on the VPIN Dispute.'' They interpret a few comments in our piece as questioning their VPIN implementation procedures. This is not the case. In fact, the results of WBGLR (2013a) are fully consistent...

A number of fundamental questions regarding the equity-index return dynamics are difficult to address due to the latent character of spot volatility. We exploit tick-by-tick option quotes to compute a novel "Corridor Implied Volatility,'' or CX, index which may serve as an observable proxy for...