Recent content by supertom

HFT You can download the article (indicateing that VPIN doesn't predict near-term volatility) from the following link: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1881731&rec=1&srcabs=2062450&alg=1&pos=3 I'd like to hear your comments.

Do you use VPIN to detect short-term imbalance, say within 30 seconds? Could you elaborate more on the edge conditions which are not listed in the VPIN wiki article? BTW, do you have any experience on the high order-to-trade market making strategies in case you get penalty on issuing a large...

I think that there is a typo in your formula. Do you mean the following? TheoPrice = BidPrice + MktImbalance * (AskPrice- BidPrice )/2 which is TheoPrice = (BidPrice *AskVolume + AskPrice*BidVolume)/(AskVolume + BidVolume) Otherwise, the theoretical price is way too high. I have...