VPIN and extreme market conditions: evidence from Taiwan index futures market
碩士 === 元智大學 === 財務金融暨會計碩士班(財務金融學程) === 103 === This research use the new procedure presented by Easley et al. (2012a) to estimate flow toxicity, which named volume-synchronized probability of informed trading, or the VPIN flow-toxicity metric. The VPIN metric is based on volume imbalance and trade i...
| Main Authors: | , |
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| Format: | Others |
| Language: | en_US |
| Online Access: | http://ndltd.ncl.edu.tw/handle/37qsfc |