DC Field | Value | Language |
---|---|---|
dc.contributor.author | Kang, Jangkoo | ko |
dc.contributor.author | Kwon, Kyung Yoon | ko |
dc.contributor.author | Kim, Wooyeon | ko |
dc.date.accessioned | 2020-01-21T02:20:09Z | - |
dc.date.available | 2020-01-21T02:20:09Z | - |
dc.date.created | 2020-01-21 | - |
dc.date.created | 2020-01-21 | - |
dc.date.created | 2020-01-21 | - |
dc.date.issued | 2020-02 | - |
dc.identifier.citation | JOURNAL OF FUTURES MARKETS, v.40, no.2, pp.164 - 191 | - |
dc.identifier.issn | 0270-7314 | - |
dc.identifier.uri | http://hdl.handle.net/10203/271615 | - |
dc.description.abstract | Abstrast We examine the relation between high-frequency trading, flow toxicity, and short-term volatility during both normal and stressful periods. Using transaction data for the Korea Composite Stock Price Index 200 (KOSPI 200) futures, we find the Volume-Synchronized Probability of Informed Trading (VPIN) useful in measuring flow toxicity as it predicts short-term volatility effectively. We further show that high-frequency trading is negatively related to VPIN and short-term volatility during normal times but has a positive association during stressful periods. Finally, we advocate the use of bulk-volume classification (BVC) by presenting evidence that the initiator identified by BVC trades at more favorable prices than the true trade initiator. | - |
dc.language | English | - |
dc.publisher | WILEY | - |
dc.title | Flow toxicity of high-frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market | - |
dc.type | Article | - |
dc.identifier.wosid | 000505929800002 | - |
dc.identifier.scopusid | 2-s2.0-85077667169 | - |
dc.type.rims | ART | - |
dc.citation.volume | 40 | - |
dc.citation.issue | 2 | - |
dc.citation.beginningpage | 164 | - |
dc.citation.endingpage | 191 | - |
dc.citation.publicationname | JOURNAL OF FUTURES MARKETS | - |
dc.identifier.doi | 10.1002/fut.22062 | - |
dc.contributor.localauthor | Kang, Jangkoo | - |
dc.contributor.nonIdAuthor | Kwon, Kyung Yoon | - |
dc.description.isOpenAccess | N | - |
dc.type.journalArticle | Article; Proceedings Paper | - |
dc.subject.keywordAuthor | high-frequency trading | - |
dc.subject.keywordAuthor | order flow toxicity | - |
dc.subject.keywordAuthor | short-term price volatility | - |
dc.subject.keywordAuthor | volume-synchronized probability of informed trading | - |
dc.subject.keywordPlus | FOREIGN INVESTORS | - |
dc.subject.keywordPlus | LIQUIDITY | - |
dc.subject.keywordPlus | VPIN | - |
dc.subject.keywordPlus | INFORMATION | - |
dc.subject.keywordPlus | BEHAVIOR | - |
dc.subject.keywordPlus | ASK | - |
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