Abstract:VPIN (Volume synchronized Probability of Informed trading) is a leading indicator of liquidity-induced volatility. It is best known for having produced a signal more than hours before the Flash Crash of 2010. On that day, the market saw the biggest one-day point decline in the Dow Jones Industrial Average, which culminated to the market value of $1 trillion disappearing, but only to recover those losses twenty minutes later (Lauricella 2010).The computation of VPIN requires the user to set up a handful of free… Show more
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