tag:blogger.com,1999:blog-7905515.post6920101105266770357..comments2024-03-14T11:09:32.759-05:00Comments on Falkenblog: High Frequency Trading PaperEric Falkensteinhttp://www.blogger.com/profile/07243687157322033496noreply@blogger.comBlogger3125tag:blogger.com,1999:blog-7905515.post-73024371837086372562011-05-27T10:09:43.138-05:002011-05-27T10:09:43.138-05:00The volume-time vs. time-time I find interesting, ...The volume-time vs. time-time I find interesting, but their usage of 'only' trade prices, and not matching with quotes, I find suboptimal.Eric Falkensteinhttps://www.blogger.com/profile/07243687157322033496noreply@blogger.comtag:blogger.com,1999:blog-7905515.post-77036381231954577732011-05-27T09:09:07.051-05:002011-05-27T09:09:07.051-05:00That is a very interesting read indeed. Thanks for...That is a very interesting read indeed. Thanks for posting.<br /><br />@ mercury:<br />One cannot predict flash crashes. How would u forecast stupidity and panic?<br />However, VPIN can even handle flash crashes, as it tracks imbalances with respect to trade size.Anonymousnoreply@blogger.comtag:blogger.com,1999:blog-7905515.post-22148603407907502062011-05-26T10:38:46.628-05:002011-05-26T10:38:46.628-05:00So, is VPIN actually a better predictor of volatil...So, is VPIN actually a better predictor of volatility than futures and options based metrics...or is that not quite the point?<br /><br />Also, I wonder if all volume is created equal (is equally significant) when so much of it is HFT penny scraping. We've already seen with these "flash crashes" where perceived liquidity doesn't always translate into actual volume and can dry up in a nanosecond when HFT algos suddenly quit the name. How do you predict when that's going to happen?Mercurynoreply@blogger.com