High Frequency Trading (HFTs) have dramatically changed the way markets operate through supplanting traditional market makers. Numerous studies and pundits have postulated a link between HFTs and market sell-off severity. Developed by Easley and O’Hara, the Volume Synchronized Probability of Informed Trading (VPIN) is a metric that uses volume imbalances to determine the probability of informed trading. This study finds that a time-based variation of VPIN can be useful in predicting market sell-offs as it has a positive relationship with forward semivariance and a negative relationship with forward returns under different market conditions.
| Identifer | oai:union.ndltd.org:CLAREMONT/oai:scholarship.claremont.edu:cmc_theses-3187 |
| Date | 01 January 2019 |
| Creators | Li, Jia Jian |
| Publisher | Scholarship @ Claremont |
| Source Sets | Claremont Colleges |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | CMC Senior Theses |
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