Order flow is toxic when it adversely selects market makers, who may be unaware they are providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on volume imbalance and trade intensity (the VPIN toxicity metric). VPIN is updated in volume-time, making it...

High Frequency Trading is pervasive across all electronic financial markets. As algorithms replace an increasing number of tasks previously performed by humans, cascading effects similar to the Flash Crash of May 6th 2010 become more likely. In this study, we bring together a number of different...

In this presentation, we analyze the explanatory (in-sample) and predictive (out-of-sample) importance of some of the best known market microstructural features. Our conclusions are drawn over the entire universe of the 87 most liquid futures worldwide, covering all asset classes, going back...