Can VPIN Forecast Geopolitical Events? An Application to the Crimean Crisis

VPIN

geopolitics

Crimea

insider trading

Annals of Finance (2018)

Authors

Felipe Silva

Ekaterina Volkova

Published

February 18, 2018

Annals of Finance (2018)

DOI SSRN PDF (Free Access) Published Version

News Coverage

Bloomberg
Washington Post
Radio Liberty
Der Standard
Vedomosti

Abstract

This paper examines whether market microstructure measures can forecast geopolitical events. Using the VPIN (Volume-Synchronized Probability of Informed Trading) measure, we show evidence of informed trading ahead of major geopolitical events during the Crimean crisis.