An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment

David Easley, Marcos Lopez de Prado and Maureen O'Hara

Critical Finance Review, 2017, vol. 6, issue 2, 377-379

Abstract: Ke and Lin provide a valuable alternative approach to estimating the Volume-Synchronized Probability of Informed Trading (VPIN) measure. As we did with estimation of VPIN’s predecessor, PIN, they estimate the parameters underlying their modified VPIN measure. This allows Ke and Lin to extract more information from the available data than we extracted with our direct approximation to VPIN. For markets in which the parameters can be reliably estimated their approach seems both a valuable and viable modification.

Keywords: VPIN; Probability of informed trade; PIN (search for similar items in EconPapers)
JEL-codes: G12 G51 G52 (search for similar items in EconPapers)
Date: 2017
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Persistent link: https://EconPapers.repec.org/RePEc:now:jnlcfr:104.00000047

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