Open AccessAssessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence*
Author(s) -
Torben G. Andersen,
Oleg Bondarenko
Publication year - 2014
Publication title -
european finance review
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 4.933
H-Index - 61
eISSN - 1573-692X
pISSN - 1382-6662
DOI - 10.1093/rof/rfu041
Subject(s) - volatility (finance) , econometrics , futures contract , futures market , economics , metric (unit) , computer science , financial economics , operations management
Accelerating Research
Robert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom
Address
John Eccles HouseRobert Robinson Avenue,
Oxford Science Park, Oxford
OX4 4GP, United Kingdom