TY - JOUR
T1 - Predicting a flash crash in the yen/dollar foreign exchange market
AU - Kitamura, Yoshihiro
N1 - Funding Information:
This work is supported by JSPS KAKENHI Grant Number 15K03558 and a grant-in-aid from the Zengin Foundation for Studies on Economics and Finance.
Publisher Copyright:
© 2016 Informa UK Limited, trading as Taylor & Francis Group.
PY - 2017/8/16
Y1 - 2017/8/16
N2 - 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.
AB - 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.
KW - Bulk volume classification
KW - VPIN
KW - flash clash
KW - order flow
KW - yen/dollar foreign exchange market
UR - http://www.scopus.com/inward/record.url?scp=84992381808&partnerID=8YFLogxK
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U2 - 10.1080/13504851.2016.1245831
DO - 10.1080/13504851.2016.1245831
M3 - Article
AN - SCOPUS:84992381808
SN - 1350-4851
VL - 24
SP - 987
EP - 990
JO - Applied Economics Letters
JF - Applied Economics Letters
IS - 14
ER -