VPIN and the flash crash

Journal of Financial Markets - Tập 17 - Trang 1-46 - 2014
Torben G. Andersen1,2,3, Oleg Bondarenko4
1Kellogg School of Management, Northwestern University, 2001 Sheridan Road, Evanston, IL 60208, United States
2NBER, United States
3CREATES, Denmark
4Department of Finance (MC 168), University of Illinois at Chicago, 601 S. Morgan St., Chicago, IL 60607, United States

Tài liệu tham khảo

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