VPIN and the Flash Crash: A rejoinder

David Easley, Marcos M. López de Prado and Maureen O'Hara

Journal of Financial Markets, 2014, vol. 17, issue C, 47-52

Abstract: Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially does not work. This is incorrect, and is refuted by results in AB and by independent research. Far from “replicating” our results, AB attack a methodology we do not advocate, an analysis we never performed, and conclusions we did not draw. Our note here makes clear why microstructure features play an important role in understanding price dynamics.

Keywords: Flash crash; Liquidity; Flow toxicity; Market microstructure; Probability of informed trading; VPIN (search for similar items in EconPapers)
JEL-codes: D53 G10 G14 (search for similar items in EconPapers)
Date: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:17:y:2014:i:c:p:47-52

DOI: 10.1016/j.finmar.2013.06.007

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