发帖
雷达卡
英文文献：VPIN and the Flash Crash-VPIN和闪电崩盘
英文文献作者：Torben G. Andersen,Oleg Bondarenko
英文文献摘要：
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 contrast, we find that VPIN is a poor volatility predictor, that it only reached an all-time high following the ash crash, and that its predictive content stems from a mechanical relation with trading intensity. Generally, we caution against adoption of any specific market stress metric until it is compared thoroughly to suitable benchmarks.
伊斯利、洛佩斯·德·普拉多和奥哈拉介绍了VPIN作为序流毒性的实时指标。他们发现，这对监控失衡秩序和发出即将到来的市场动荡信号(例如火山灰崩盘)非常有用。他们还认为VPIN是短期波动的良好预测者。相比之下，我们发现VPIN是一个较差的波动性预测器，它只是在火山灰崩盘后才达到历史高点，而且它的预测内容源于与交易强度的机械关系。一般来说，我们警告不要采用任何特定的市场压力指标，直到它与合适的基准彻底比较。
京公网安备 11010802022788号
