Informed Trading, Flow Toxicity and the Impact on Intraday Trading Factors
This study involves a detailed discussion on the estimation of intraday time-varying volume synchronised probability of informed trading (VPIN), a proxy for levels of informed trading and flow toxicity, followed by intraday analysis on its impact of the behaviour of intraday trading in a limit order...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
University of Wollongong
2013-06-01
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| Series: | Australasian Accounting, Business and Finance Journal |
| Subjects: | |
| Online Access: | http://ro.uow.edu.au/aabfj/vol7/iss2/2 |