Narrow search
Showing 1 - 5 of 5
Cover Image
Reflecting on the VPIN Dispute
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2013
In Andersen and Bondarenko (2014), using tick data for S&P 500 futures, we establish that the VPIN metric of Easley, Lopez de Prado, and O'Hara (ELO), by construction, will be correlated with trading volume and return volatility (innovations). Whether VPIN is more strongly correlated with volume...
Persistent link: https://www.econbiz.de/10011099292
Cover Image
VPIN and the Flash Crash
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2011
Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...
Persistent link: https://www.econbiz.de/10009644870
Cover Image
Coherent Model-Free Implied Volatility: A Corridor Fix for High-Frequency VIX
Andersen, Torben G.; Bondarenko, Oleg; Gonzalez-Perez, … - School of Economics and Management, University of Aarhus - 2011
The VIX index is computed as a weighted average of SPX option prices over a range of strikes according to specific … measure, distorting the time series properties of VIX. We introduce a novel “Corridor Implied Volatility” index (CX) computed … of the high-frequency volatility dynamics. Moreover, the VIX measure is particularly unreliable during periods of market …
Persistent link: https://www.econbiz.de/10009644871
Cover Image
The Risk-Return Tradeoff and Leverage Effect in a Stochastic Volatility-in-Mean Model
Christensen, Bent Jesper; Posedel, Petra - School of Economics and Management, University of Aarhus - 2010
-minute) returns, implied Black-Scholes volatility backed out from observed option prices, model-free implied volatility (VIX …
Persistent link: https://www.econbiz.de/10008525437
Cover Image
Construction and Interpretation of Model-Free Implied Volatility
Andersen, Torben G.; Bondarenko, Oleg - School of Economics and Management, University of Aarhus - 2007
The notion of model-free implied volatility (MFIV), constituting the basis for the highly publicized VIX volatility … return distribution. This is reflected in practice as the VIX index is computed through a tail-truncation which renders it …
Persistent link: https://www.econbiz.de/10005440033