Скачать или смотреть Example of Flow Toxicity in Currencies

May 20th 2010 is remembered for a sudden reduction in the number of wagers by hedge funds for a decline in the Euro. CFTC data showed speculators holding Euro bearish bets for 107,143 contracts more than those bullish, down from a record 113,890 a week earlier. The toxicity generated by the continuation of that flow can be appreciated in this video.

CDF(VPIN) crossed the 0.9 threshold at 10.24am, and remained over that level for the rest of the session. Two and a half hours later began a massive rally that would take the Euro up to 3% higher.

Presented by Marcos Lopez de Prado during the QUANT CONGRESS USA, July 12-14th 2011, New York.

For additional information, visit:

http://www.quantcongressusa.com/speakers
http://ssrn.com/abstract=1695041
http://ssrn.com/abstract=1695596
http://ssrn.com/abstract=1748633