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

研究成果: Article

1 引用 (Scopus)

抄録

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.

元の言語English
ページ(範囲)1-4
ページ数4
ジャーナルApplied Economics Letters
DOI
出版物ステータスAccepted/In press - 2016 10 27

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Foreign exchange market
Crash
Probability of informed trading
Bid
Order flow

ASJC Scopus subject areas

  • Economics and Econometrics

これを引用

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