Volume Synchronized Probability of Informed Trading
- The VPIN method intends to measure the probability of market informed transaction.
- Although VPIN method is viewed for the HFT environment. But the result suggests that certain VPIN model with Linear Regression provides proxies for adverse selection risk
- Version - Written in Python 3.7.3
- Keywords
- VPIN
- Market micro structure
- pandas
- numpy
- matplotlib.pyplot
- time
- train_test_split
- LinearRegression
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dataset
- kakaostock.csv
- Sampling time: 2021-March-17
- Data sample in time period between 1000 and 1400.
- For transactions in the sampling date, the entile volume is divided into 1000 buckets.
- Filling Procedure: Filling of bucket starts when transaction starts. When volume of transaction exceeds the upper bound, calculate vol_bucket with buy volume, which indicates the rest of transaction amount Loop of aforementioned process generate a series of baskets.
- Price change per VPIN gradient