VPIN Volume Synchronized Probability
- Indikatoren
- Roberto Spadim
- Version: 1.2
- Aktualisiert: 16 April 2019
- Aktivierungen: 5
Easley et al. [2011] proposed a high-frequency estimate of PIN, which they named volume-synchronized probability of informed trading (VPIN). This procedure adopts a volume clock, which synchronizes the data sampling with market activity.
For additional details and case studies of VPIN, see Easley et al. [2013].
A number of studies have found that VPIN indeed has predictive power: Abad and Yague [2012], Bethel et al. [2012], Cheung et al. [2015], Kim et al. [2014], Song et al. [2014], Van Ness et al. [2017], and Wei et al. [2013], to cite a few.
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This indicator is based on Advances in Financial Machine Learning 2018 - Marcos Lopez de Prado book, Page 292.