The Volume-Synchronized Probability of Informed Trading (VPIN) metric is proposed by Easley et al. (2011, 2012) as a real-time measure of order flow toxicity in an electronic trading market. This paper examines the performance of VPIN around inventory announcements and price jumps in crude oil...

Event studies are widely used in finance research to investigate the implications of announcements of corporate initiatives, regulatory changes, or macroeconomic shocks on stock prices. These studies are often used in a single country setting (usually the U.S.), but little work has yet been...