Flow Toxicity and Liquidity in a High-frequency World

David Easley, Marcos M. López de Prado, Maureen O'Hara · 2012 · Review of Financial Studies

IntermediateHFTIntradayEmpiricalFree to read

VPIN: a volume-bucketed measure of order-flow toxicity, claimed to rise before the 2010 Flash Crash. Debated, but a useful lens for market makers.

Read the paper ↗Free version ↗

At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT, Intraday
Data needed: Trades Set what data you have
Themes: Order-flow alpha Market making
Assets: Index futures
Market: US

Your notes

Report a problem with this entry

@article{easley2012flow, author = {Easley, David and López de Prado, Marcos M. and O'Hara, Maureen}, title = {{Flow Toxicity and Liquidity in a High-frequency World}}, journal = {Review of Financial Studies}, year = {2012}, doi = {10.1093/rfs/hhs053} }