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

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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)1-4
Number of pages4
JournalApplied Economics Letters
DOIs
Publication statusAccepted/In press - 2016 Oct 27

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Keywords

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

ASJC Scopus subject areas

  • Economics and Econometrics

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