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

Author

Listed:
  • Easley, David
  • Lopez de Prado, Marcos
  • O'Hara, Maureen

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.

Suggested Citation

  • Easley, David & Lopez de Prado, Marcos & O'Hara, Maureen, 2017. "An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment," Critical Finance Review, now publishers, vol. 6(2), pages 377-379, September.
    • Handle: RePEc:now:jnlcfr:104.00000047
    DOI: 10.1561/104.00000047
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    More about this item

    Keywords

    VPIN; Probability of informed trade; PIN;
    All these keywords.

    JEL classification:

    • G51 - Financial Economics - - Household Finance - - - Household Savings, Borrowing, Debt, and Wealth
    • G52 - Financial Economics - - Household Finance - - - Insurance
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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