Journal
APPLIED ECONOMICS LETTERS
Volume 24, Issue 14, Pages 987-990Publisher
ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
DOI: 10.1080/13504851.2016.1245831
Keywords
Bulk volume classification; flash clash; order flow; VPIN; yen; dollar foreign exchange market; F31; G12; G14
Categories
Funding
- JSPS KAKENHI [15K03558]
- Zengin Foundation for Studies on Economics and Finance
- Grants-in-Aid for Scientific Research [15K03558] Funding Source: KAKEN
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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.
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