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- W2969876630 abstract "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. The data that support findings of this study are available from the Korea Exchange. Restrictions apply to the availability of these data, which were used under license for this study. Data are available from the authors with the permission of the Korean Exchange. [KOSPI 200 futures tick data]; Not publicly available; data set without account information can be acquired with data fee in https://marketdata.krx.co.kr." @default.
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- W2969876630 date "2019-10-10" @default.
- W2969876630 modified "2023-09-30" @default.
- W2969876630 title "Flow toxicity of high‐frequency trading and its impact on price volatility: Evidence from the KOSPI 200 futures market" @default.
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- W2969876630 doi "https://doi.org/10.1002/fut.22062" @default.
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