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Reflecting on the VPIN dispute

Andersen, Torben; Bondarenko, Oleg - In: Journal of financial markets 17 (2014), pp. 53-64

Persistent link: https://www.econbiz.de/10010436245

VPIN and the flash crash

Andersen, Torben; Bondarenko, Oleg; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 1-46

Persistent link: https://www.econbiz.de/10010436257

Optimal execution horizon

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Mathematical finance : an international journal of … 25 (2015) 3, pp. 640-672

Persistent link: https://www.econbiz.de/10011350553

Chapter 17 Microstructure and asset pricing

Easley, David; O'Hara, Maureen - 2003

Market microstructure and asset pricing both consider the behavior and formation of prices in asset markets. Yet neither literature explicitly recognizes the importance and role of the factors so crucial to the other approach. This survey seeks to join the two literatures by surveying the work...

Persistent link: https://www.econbiz.de/10014023854

VPIN and the Flash Crash: A rejoinder

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...

Persistent link: https://www.econbiz.de/10011047542