Building Parser and Analytics Infrastructure

rcyeh / cfem2013

Cornell Financial Engineering Manhattan 2013 Project

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Building Parser and Analytics Infrastructure #8

Open zc238 opened 11 years ago

zc238 commented 11 years ago

Write up codes for extracting data and computing TR-VPIN, FB-VPIN, Bulk-Volume VPIN, U1-VPIN, U2-VPIN.

Write up codes for regressing various VPINs against returns, volatility, VPIN benchmarks, and VIX. Volatility should be defined in terms of 1) short term realized volatility 2) EWMA of volaitliy

kz93 commented 10 years ago

this is the link for Lee/Ready classification accuracy rate paper just mentioned in the call http://citeseerx.ist.psu.edu/viewdoc/download?doi=10.1.1.34.4116&rep=rep1&type=pdf

rcyeh commented 10 years ago

This is what I found: < http://link.springer.com/article/10.1007%2Fs10436-011-0184-8#page-1 >, which is more applicable to our current problem in the US market. Conclusions: accuracy >= 55%, up to 61% for highly liquid securities.