In recent years there have been reports of excessive price volatility and value differences between prices of exchange traded funds (ETFs) and their underlying asset values. The objective of our study is to shed light on these facts by taking a closer look at the relationship between return...

The VPIN, or Volume-synchronized Probability of INformed trading, metric is introduced by Easley, Lopez de Prado and O'Hara (ELO) as a real-time indicator of order flow toxicity. They find the measure useful in predicting return volatility and conclude it may help signal impending market...

Trading imbalances are often interpreted to be the result of informed trading. Yet imbalances may simply reflect random shocks or the results of liquidity trading. If trading imbalances reflect informed trading, they should anticipate major news events. Using announcements of earnings,...

The usefulness of technical analyses has never reached a consensus. Unlike most literature studying stock price behaviors surrounding the presence of technical trading signals, this paper examines the heterogeneity in order submission behaviors of investors in the Taiwan Stock Exchange. Our...

We study sovereign yield dynamics and order flow in the largest euro-area treasury markets. We exploit unique transaction data to explain daily yield changes in the tenðyear government bands of Italy, France, Belgium, and Germany. We use a state space model to decompose these changes into (i) a...

In this paper, we study the relation between order imbalances (buyer versus seller-initiated trades measured by a buy ratio) at an early trading hour and intraday price discovery in the Chinese stock markets. We find that the volatility of order imbalances is the highest around the open. There...

Easley, Lopez de Prado and O'Hara introduce VPIN as a real-time indicator of order flow toxicity. They find it useful for monitoring order fl ow imbalances and signaling impending market turmoil, exemplified by the ash crash. They also deem VPIN a good forecaster of short-term volatility. In...

Adopting the quantile regression model, this paper describes the positive relation between relative order imbalance and intraday futures returns. The positive connection is relatively stronger for lower quantiles of intraday futures returns than for higher quantiles. However, the connection...