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.
Acknowledgement
This work is supported by JSPS KAKENHI Grant Number 15K03558 and a grant-in-aid from the Zengin Foundation for Studies on Economics and Finance.
Disclosure statement
No potential conflict of interest was reported by the author.
Notes
1 I also consider 1/20 of median of daily trading volume, and the main result remains unchanged.