The Effects of Different VPIN Indicators during the Crash–Evidence from Taiwan Stock Index Futures on August 24th, 2015
碩士 === 國立臺北大學 === 金融與合作經營學系 === 104 === For the crash of Taiwan Stock Index Futures (TX) on August 24th, 2015, we found that the cumulative distribution function of Easley, Prado and O’Hara’s VPIN (volume-synchronized probability of informed trading) is similar to Easley et al. (2012). The VPIN mode...
| Main Authors: | , |
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| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/uhed9a |