Predicting a flash crash in the yen/dollar foreign exchange market |
| |
| Authors: | Yoshihiro Kitamura |
| |
| Affiliation: | School of Social Sciences, Waseda University, 1-6-1 Nishi-Waseda, Shinjuku-ku, Tokyo, JAPAN |
| |
| Abstract: | I examine whether the volume-synchronized probability of informed trading (VPIN) can predict a flash crash in the yen/dollar foreign exchange market. The results show that VPIN using bulk volume classification predicted a recent event. However, VPIN using order flows, which are the amount of the ask-side transaction minus those of bid-side, does not. |
| |
| Keywords: | Bulk volume classification flash clash order flow VPIN yen/dollar foreign exchange market |
|
|
