Evaluating VPIN as a Trigger for Single-Stock Circuit Breakers

David Abad,Magdalena Massot,Roberto Pascual

Journal of Banking & Finance（2018）

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摘要

•VPIN rarely signals abnormal illiquidity.•VPIN only occasionally anticipates price changes leading to actual trading halts.•The capacity of VPIN to anticipate truly toxic events is limited.•VPIN limits cannot substitute traditional price limits.•VPIN-based circuit breakers can be costly in terms of unnecessary trading cessations.

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关键词

VPIN,BVC,Circuit breakers,Trading halts,Price limits,Order flow toxicity

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