Problem1 form a time series of volume bars on e-mini sampp, Ask an Expert

Engineering

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?

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Category:- Other Engineering
Reference No.:- M92765418

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