Information

How informed traders move prices, and how to measure their presence.

Kyle’s insider and the price impact lambda

Kyle's insider and the price impact lambda

Glosten and Milgrom: a spread from adverse selection alone

Glosten and Milgrom: a spread from adverse selection alone

Hasbrouck’s trade-impact VAR

Hasbrouck's trade-impact VAR

Easley, Kiefer, O’Hara and Paperman: the probability of informed trading

Easley, Kiefer, O'Hara and Paperman: the probability of informed trading

VPIN: flow toxicity in volume time

VPIN: flow toxicity in volume time