Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors

Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors

This study involves a detailed discussion on the estimation of intraday time-varying volume synchronised probability of informed trading (VPIN), a proxy for levels of informed trading and flow toxicity, followed by intraday analysis on its impact of the behaviour of intraday trading in a limit order...

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Bibliographic Details
Main Authors: Wang Chun Wei, Dionigi Gerace, Alex Frino
Format: Article
Language:English
Published: University of Wollongong 2013-06-01
Series:Australasian Accounting, Business and Finance Journal
Subjects:
VPIN
flow toxicity
informed trading
quote imbalance
realised volatility
volume bucketing
market microstructure
Granger causality
Online Access:http://ro.uow.edu.au/aabfj/vol7/iss2/2

Internet

http://ro.uow.edu.au/aabfj/vol7/iss2/2

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