Analysis of stock market volatility: Adjusted VPIN with high-frequency data
H Yang, F Xue - International Review of Economics & Finance, 2021 - Elsevier
The volume-synchronized probability of informed trading (VPIN) is widely accepted as a
proxy of volatility in the high-frequency market. We propose a novel VPIN model, called …
proxy of volatility in the high-frequency market. We propose a novel VPIN model, called …