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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

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

Discerning information from trade data

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial economics 120 (2016) 2, pp. 269-285

Persistent link: https://www.econbiz.de/10011590080

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 : a rejoinder

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: Journal of financial markets 17 (2014), pp. 47-52

Persistent link: https://www.econbiz.de/10010436247

The volume clock : insights into the high frequency paradigm

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The journal of portfolio management : a publication of … 39 (2012) 1, pp. 19-29

Persistent link: https://www.econbiz.de/10009670646

Flow toxicity and liquidity in a high-frequency world

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The review of financial studies 25 (2012) 5, pp. 1457-1493

Persistent link: https://www.econbiz.de/10009536413

The exchange of flow toxicity

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The journal of trading 6 (2011) 2, pp. 8-13

Persistent link: https://www.econbiz.de/10009008523

Flow Toxicity and Liquidity in a High-frequency World

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The review of financial studies 25 (2012) 5, pp. 1457-1457

Persistent link: https://www.econbiz.de/10009962004

Flow Toxicity and Liquidity in a High-frequency World

Easley, David; López de Prado, Marcos M.; O'Hara, Maureen - In: The review of financial studies 25 (2013) 5, pp. 1457-1456

Persistent link: https://www.econbiz.de/10010113916