VPIN and the Flash Crash: A rejoinder

Easley, D; López de Prado, MM; O'Hara, M

VPIN and the Flash Crash: A rejoinder

Easley, D López de Prado, MM O'Hara, M

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Publication Type:: Journal Article
Citation:: Journal of Financial Markets, 2014, 17 (1), pp. 47 - 52
Issue Date:: 2014-01-01

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Field	Value	Language
dc.contributor.author	Easley, D	en_US
dc.contributor.author	López de Prado, MM	en_US
dc.contributor.author	O'Hara, M	en_US
dc.date.issued	2014-01-01	en_US
dc.identifier.citation	Journal of Financial Markets, 2014, 17 (1), pp. 47 - 52	en_US
dc.identifier.issn	1386-4181	en_US
dc.identifier.uri	http://hdl.handle.net/10453/118180
dc.description.abstract	Andersen and Bondarenko's paper "VPIN and the Flash Crash" is essentially a comment on our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially does not work. This is incorrect, and is refuted by results in AB and by independent research. Far from "replicating" our results, AB attack a methodology we do not advocate, an analysis we never performed, and conclusions we did not draw. Our note here makes clear why microstructure features play an important role in understanding price dynamics. © 2013 Elsevier B.V.	en_US
dc.relation.ispartof	Journal of Financial Markets	en_US
dc.relation.isbasedon	10.1016/j.finmar.2013.06.007	en_US
dc.subject.classification	Finance	en_US
dc.title	VPIN and the Flash Crash: A rejoinder	en_US
dc.type	Journal Article
utslib.citation.volume	1	en_US
utslib.citation.volume	17	en_US
utslib.for	1502 Banking, Finance and Investment	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.issue	1	en_US
pubs.publication-status	Published	en_US
pubs.volume	17	en_US

Abstract:

Andersen and Bondarenko's paper "VPIN and the Flash Crash" is essentially a comment on our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially does not work. This is incorrect, and is refuted by results in AB and by independent research. Far from "replicating" our results, AB attack a methodology we do not advocate, an analysis we never performed, and conclusions we did not draw. Our note here makes clear why microstructure features play an important role in understanding price dynamics. © 2013 Elsevier B.V.

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http://hdl.handle.net/10453/118180