Informed Trading on Russian Stock Market

Student: Baldovskaya Pavlina

Educational Programme: Economics (Bachelor)

Year of Graduation: 2016

We apply PIN and VPIN models to estimate information asymmetry and order flow toxicity on Russian stock market. The information risk is higher for oil and gas, financial and metals and mining sectors. Moreover VPIN is constructed as a real-time moving window, that captures toxicity-induced volatility and might forecast price movements in a high-frequency market. We propose a shining example of VPIN's application and a presumable model for the correct estimation of its predicative power. We try it on the data from Moscow Exchange.

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