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doi.org/10.1016/j.srfe.2012.10.002
Original paper
From PIN to VPIN: An introduction to order flow toxicity
David Abad
8
,
José Yagüe
12
View all 2 authors
The Spanish Review of Financial Economics
Volume: 10, Issue: 2, Pages: 74 - 83
Published
: Jul 1, 2012
42
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Paper Fields
Actuarial science
High-frequency trading
Chromatography
Algorithmic trading
Selection (genetic algorithm)
Economics
Computer science
Adverse selection
Risk analysis (engineering)
Business
Econometrics
Operations management
Financial economics
Chemistry
Metric (unit)
Sample (material)
Finance
Order (exchange)
Machine learning
Paper Details
Title
From PIN to VPIN: An introduction to order flow toxicity
DOI
doi.org/10.1016/j.srfe.2012.10.002
Published Date
Jul 1, 2012
Journal
The Spanish Review of Financial Economics
Volume
10
Issue
2
Pages
74 - 83
Notes
History
View all history