Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of Financial Markets 17 (2014) C, pp. 47-52
Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially does not work. This is...
