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Order Flow Toxicity in HFT: How VPIN Measures Market Risk
Order Flow Toxicity in HFT: How VPIN Measures Market Risk Introduction: When Liquidity Becomes Dangerous In high-frequency trading, liquidity can look abundant until the market suddenly moves against the trader providing it. A market maker may display competitive bid and ask quotes, capture small spreads and maintain tight inventory limits. Yet if incoming orders are […]
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