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From PIN to VPIN: An introduction to order flow toxicity | The Spanish Review of Financial Economics

elsevier.es · 10,067 words · saved by 1 readers

As an update of the well-known PIN measure, Easley et al. (2012a) have developed a

Article information Abstract Full Text Bibliography Download PDF Statistics Figures (3) Tables (8) Table 1. VPIN metric procedure – sample excerpt. Table 2. VPIN metric procedure – time bars. Table 3. VPIN metric procedure – volume bucketing and bulk classification. Table 4. VPIN metric procedure – order imbalance. Table 5. VPIN metric procedure – VPIN and sample length. Table 6. TEF VPIN 2009 statistics. Table 7. Sample statistics. Table 8. PIN and VPIN statistics. Abstract As an update of the well-known PIN measure, Easley et

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