Compute the series of vpin on may six flash crash

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Reference no: EM131926759

Problem

1. Form a time series of volume bars on E-mini S&P 500 futures,

(a) Compute the series of VPIN on May 6, 2010 (flash crash).

(b) Plot the series of VPIN and prices. What do you see?

2. Compute the distribution of order sizes for E-mini S&P 500 futures

(a) Over the entire period.

(b) For May 6, 2010.

(c) Conduct a Kolmogorov-Smirnov test on both distributions. Are they significantly different, at a 95% confidence level?

Reference no: EM131926759

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