Order flow is toxic when it adversely selects market makers, who may be unaware they are
providing liquidity at a loss. We present a new procedure to estimate flow toxicity based on …

Abstract The Volume-Synchronized Probability of Informed trading (VPIN) metric is
introduced by Easley, López de Prado, and O'Hara (2011a) as a real-time indicator of order …

As an update of the well-known PIN measure, Easley et al.(2012a) have developed a new
measure of order flow toxicity called Volume-Synchronized Probability of Informed Trading …

Abstract In Andersen and Bondarenko (2014), using tick data for S&P 500 futures, we
establish that the VPIN metric of Easley, López de Prado, and O'Hara (ELO), by construction …

Understanding the microstructure of the financial market requires the processing of a vast
amount of data related to individual trades, and sometimes even multiple levels of quotes …

Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on
our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN …

Following the “flash crash” on May 6, 2010, warning signals for impending market stress
have been in high demand, yet only the VPIN metric of Easley, López de Prado, and O'Hara …

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 …

Execution traders know that market impact greatly depends on whether their orders lean
with or against the market. We introduce the OEH model, which incorporates this fact when …

In this article we investigate the influence that information asymmetry may have on future
volatility, liquidity, market toxicity, and returns within cryptocurrency markets. We use the …