An improved version of the volume-synchronized probability of informed trading: A comment

Easley, D; De Prado, ML; O'Hara, M

An improved version of the volume-synchronized probability of informed trading: A comment

Easley, D De Prado, ML O'Hara, M

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Publication Type:: Journal Article
Citation:: Critical Finance Review, 2017, 6 pp. 377 - 379
Issue Date:: 2017-01-01

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Field	Value	Language
dc.contributor.author	Easley, D	en_US
dc.contributor.author	De Prado, ML	en_US
dc.contributor.author	O'Hara, M	en_US
dc.date.issued	2017-01-01	en_US
dc.identifier.citation	Critical Finance Review, 2017, 6 pp. 377 - 379	en_US
dc.identifier.issn	2164-5744	en_US
dc.identifier.uri	http://hdl.handle.net/10453/117483
dc.description.abstract	© 2017 David Easley, Marcos Lopez de Prado, and Maureen O'Hara. Ke and Lin provide a valuable alternative approach to estimating the Volume-Synchronized Probability of Informed Trading (VPIN) measure. As we did with estimation of VPIN's predecessor, PIN, they estimate the parameters underlying their modified VPIN measure. This allows Ke and Lin to extract more information from the available data than we extracted with our direct approximation to VPIN. For markets in which the parameters can be reliably estimated their approach seems both a valuable and viable modification.	en_US
dc.relation.ispartof	Critical Finance Review	en_US
dc.relation.isbasedon	10.1561/104.00000047	en_US
dc.title	An improved version of the volume-synchronized probability of informed trading: A comment	en_US
dc.type	Journal Article
utslib.citation.volume	6	en_US
utslib.for	1501 Accounting, Auditing and Accountability	en_US
pubs.embargo.period	Not known	en_US
pubs.organisational-group	/University of Technology Sydney
pubs.organisational-group	/University of Technology Sydney/Faculty of Business
utslib.copyright.status	closed_access
pubs.publication-status	Published	en_US
pubs.volume	6	en_US

Abstract:

© 2017 David Easley, Marcos Lopez de Prado, and Maureen O'Hara. Ke and Lin provide a valuable alternative approach to estimating the Volume-Synchronized Probability of Informed Trading (VPIN) measure. As we did with estimation of VPIN's predecessor, PIN, they estimate the parameters underlying their modified VPIN measure. This allows Ke and Lin to extract more information from the available data than we extracted with our direct approximation to VPIN. For markets in which the parameters can be reliably estimated their approach seems both a valuable and viable modification.

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http://hdl.handle.net/10453/117483