Flow toxicity and liquidity in a high-frequency world

D Easley, MM López de Prado… - The Review of Financial …, 2012 - academic.oup.com
Order flow is toxic when it adversely selects market makers, who may be unaware they are
providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on …

Exchange-traded funds, market structure, and the flash crash

A Madhavan - Financial Analysts Journal, 2012 - Taylor & Francis
The author analyzes the relationship between market structure and the flash crash. The
proliferation of trading venues has resulted in a market that is more fragmented than ever …

Circuit breakers as market stability levers: A survey of research, praxis, and challenges

IM Sifat, A Mohamad - International Journal of Finance & …, 2019 - Wiley Online Library
Circuit breaker, an automated regulatory instrument employed to deter panic, temper
volatility, and prevent crashes, is controversial in financial markets. Proponents claim it …

Discerning information from trade data

D Easley, ML De Prado, M O'Hara - Journal of Financial Economics, 2016 - Elsevier
How best to discern trading intentions from market data? We examine the accuracy of three
methods for classifying trade data: bulk volume classification (BVC), tick rule and …

Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm

B Chakrabarty, R Pascual, A Shkilko - Journal of Financial Markets, 2015 - Elsevier
We compare the accuracy of the bulk volume classification (BVC) to that of the tick rule (TR)
and the Lee-Ready (LR) algorithm for a large sample of equities. TR and LR produce …

From PIN to VPIN: An introduction to order flow toxicity

D Abad, J Yagüe - The Spanish Review of Financial Economics, 2012 - Elsevier
As an update of the well-known PIN measure, Easley et al.(2012a) have developed a new
measure of order flow toxicity called Volume-Synchronized Probability of Informed Trading …

Reflecting on the VPIN dispute

TG Andersen, O Bondarenko - Journal of Financial Markets, 2014 - Elsevier
Abstract In Andersen and Bondarenko (2014), using tick data for S&P 500 futures, we
establish that the VPIN metric of Easley, López de Prado, and O'Hara (ELO), by construction …

Optimal placement in a limit order book: an analytical approach

X Guo, A De Larrard, Z Ruan - Mathematics and Financial Economics, 2017 - Springer
This paper proposes and studies an optimal placement problem in a limit order book. Under
a correlated random walk model with mean-reversion for the best ask/bid price, optimal …

[PDF][PDF] Bulk classification of trading activity

D Easley, M Lopez de Prado… - Johnson School Research …, 2012 - academia.edu
The classification of the aggressor's side of a trade is a critical concern in Market
Microstructure Theory. Among other uses, it is a key input necessary to identify information …

A big data approach to analyzing market volatility

K Wu, E Bethel, M Gu, D Leinweber… - Algorithmic …, 2013 - content.iospress.com
Understanding the microstructure of the financial market requires the processing of a vast
amount of data related to individual trades, and sometimes even multiple levels of quotes …