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

Yoshihiro Kitamura ()

Applied Economics Letters, 2017, vol. 24, issue 14, 987-990

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.

Date: 2017
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DOI: 10.1080/13504851.2016.1245831

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