From PIN to VPIN: An introduction to order flow toxicity

Spanish Review of Financial Economics

Volumn 10, Issue 2, 2012, Pages 74-83

  Abad, David ^a   Yagüe, José ^b  

^a UNIVERSITY OF ALICANTE   (Spain)

^b UNIVERSITY OF MURCIA   (Spain)

Author keywords

Adverse selection; High frequency trading (HFT); Market microstructure; Order flow toxicity; PIN; Probability of informed trading; VPIN

Indexed keywords

EID: 84872388245     PISSN: 21731268     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.srfe.2012.10.002     Document Type: Article

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