An address, to the people of New-England

A vindication of Jefferson's administration.

Volume-Synchronized Probability of Informed Trading (VPIN), Market Volatility, and High-Frequency Liquidity

We assess the predictive ability of three VPIN metrics on the basis of two highly volatile market events of China, and examine the association between VPIN and toxic-induced volatility through conditional probability analysis and multiple regression. We examine the dynamic relationship on VPIN and high-frequency liquidity using Vector Auto-Regression models, Granger Causality tests, and impulse response analysis. Our results suggest that Bulk Volume VPIN has the best risk-warning effect among major VPIN metrics. VPIN has a positive association with market volatility induced by toxic information flow. Most importantly, we document a positive feedback effect between VPIN and high-frequency liquidity, where a negative liquidity shock boosts up VPIN, which, in turn, leads to further liquidity drain. Our study provides empirical evidence that reflects an intrinsic game between informed traders and market makers when facing toxic information in the high-frequency trading world.

Various Cards

1. Notice of a testimonial to Samuel Zimmerman to be held at Moffatt’s Hotel, Niagara Falls on Feb. 13th 1854. Members of the committee were Walter H. Dickson, Daniel McDougal, William Kingsmill and Joseph A. Woodruff, 1854. 2. Business card of Granger and Billings House, Sign and Ornamental Painters of Queen Street, Niagara Falls, 1855. 3. Membership card of Agricultural Society, Electoral Division No. 25 of the Town and Township of Niagara made out to W. S. Winterbottom, 1881. 4. Invitation to the Centennial Celebration of the settlement of the Niagara District by the United Empire Loyalists to be held on Aug. 14, 1884. The card is from Dan Servos, secretary of the committee, June 1884.