Critical Finance Review > Vol 6 > Issue 2

An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment

David Easley, Cornell University, USA, dae3@cornell.edu Marcos Lopez de Prado, Guggenheim Partners, USA, Marcos.LopezDePrado@guggenheiminsurance.com Maureen O'Hara, Cornell University, USA, mo19@cornell.edu
 
Suggested Citation
David Easley, Marcos Lopez de Prado and Maureen O'Hara (2017), "An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment", Critical Finance Review: Vol. 6: No. 2, pp 377-379. http://dx.doi.org/10.1561/104.00000047

Published: 05 Sep 2017
© 2017 D. Easley, M. Lopez de Prado, and M. O’Hara
 
Subjects
 
Keywords
G51G52G12
VPINProbability of informed tradePIN
 

Article Help

Share

Download article
In this article:
An Improved Version of the Volume-Synchronized Probability of Informed Trading: A Comment
References

Abstract

Ke and Lin provide a valuable alternative approach to estimating the Volume-Synchronized Probability of Informed Trading (VPIN) measure. As we did with estimation of VPIN’s predecessor, PIN, they estimate the parameters underlying their modified VPIN measure. This allows Ke and Lin to extract more information from the available data than we extracted with our direct approximation to VPIN. For markets in which the parameters can be reliably estimated their approach seems both a valuable and viable modification.

DOI:10.1561/104.00000047