Recent Content by supertom

  1. HFT Myths

    HFT You can download the article (indicateing that VPIN doesn't predict near-term volatility) from the following link:...
    Post by: supertom, Feb 25, 2014 in forum: Automated Trading

  2. HFT Myths

    Do you use VPIN to detect short-term imbalance, say within 30 seconds? Could you elaborate more on the edge conditions which are not listed in the...
    Post by: supertom, Feb 24, 2014 in forum: Automated Trading

  3. HFT Myths

    I think that there is a typo in your formula. Do you mean the following? TheoPrice = BidPrice + MktImbalance * (AskPrice- BidPrice )/2 which...
    Post by: supertom, Feb 11, 2014 in forum: Automated Trading