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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

Market microstructure

Easley, David - In: Finance, (pp. 357-383). 1995

Persistent link: https://www.econbiz.de/10001318007

One day in the life of a very common stock

Easley, David - In: The review of financial studies 10 (1997) 3, pp. 805-835

Persistent link: https://www.econbiz.de/10001227976

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

From mining to markets : The evolution of bitcoin transaction fees

Easley, David; O'Hara, Maureen; Basu, Soumya - In: Journal of financial economics 134 (2019) 1, pp. 91-109

Persistent link: https://www.econbiz.de/10012166796

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

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

Is information risk a determinant of asset returns?

Easley, David; Hvidkjaer, Soeren; O'Hara, Maureen - In: The journal of finance : the journal of the American … 57 (2002) 5, pp. 2185-2221

Persistent link: https://www.econbiz.de/10001709427