Journal Article

VPIN and the Flash Crash

Journal of Financial Markets
Author(s)

Torben Gustav Andersen

Oleg Bondarenko

The Volume-Synchronized Probability of Informed trading (VPI
Date Published: 2014
Citations: Andersen, Torben Gustav, Oleg Bondarenko. 2014. VPIN and the Flash Crash. Journal of Financial Markets. 1-46.
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