Predicting a flash crash in the yen/dollar foreign exchange market

Research output: Contribution to journalArticlepeer-review

1 Citation (Scopus)

Abstract

I examine whether the volume-synchronized probability of informed trading (VPIN) can predict a flash crash in the yen/dollar foreign exchange market. The results show that VPIN using bulk volume classification predicted a recent event. However, VPIN using order flows, which are the amount of the ask-side transaction minus those of bid-side, does not.

Original languageEnglish
Pages (from-to)987-990
Number of pages4
JournalApplied Economics Letters
Volume24
Issue number14
DOIs
Publication statusPublished - 2017 Aug 16

Keywords

  • Bulk volume classification
  • VPIN
  • flash clash
  • order flow
  • yen/dollar foreign exchange market

ASJC Scopus subject areas

  • Economics and Econometrics

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