Evaluating VPIN as a Trigger for Single-Stock Circuit Breakers
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DOI: 10.1016/j.jbankfin.2017.08.009
Abstract: We study if VPIN (Easley et al., 2012a) is an efficient advance indicator of toxicity-induced liquidity crises and related sharp price movements. We find that high VPIN readings rarely signal abnormal illiquidity, and very occasionally… read more here.
Keywords: evaluating vpin; stock circuit; trigger single; single stock ... See more keywords