The fresh coefficient having OL speed is a lot larger than the absolute worth of the coefficient to own Loan proportions
The fresh coefficient having OL speed is a lot larger than the absolute worth of the coefficient to own Loan proportions I use VPIN (Volume-Synchronized Likelihood of Informed Exchange) (Easley et al. 2012) and you will Bid-Inquire Bequeath (Lee mais aussi al. 1993; Madhavan mais aussi al. 1997) because the tips of information asymmetry regarding stock market to be sure the newest robustness of our own results. Easley mais aussi al. (2012) enhances the algorithm regarding PIN and you may reveals VPIN. VPIN means absolutely the worth of the difference between the brand new sell and buy positions split up because of the full trading. Due to the fact Chinese stock exchange can provide purchase pointers, we really do not need to embrace a way to split the latest frequency…