Models of Stock Market Microstructure. Measures of Information Asymmetry

This paper it examines the microstructure of the financial market, in particular, it uses the measure of the information asymmetry of VPIN, proposed by the authors Easley, D., Lopez de Prado, M. and O'Hara, M. (2012) to determine informed trade in high-frequency trading. The calculation of this metric is repeated on the RTS futures data. Also, in this paper it adopts the VPIN metric to the instrument for real-time using. The classification of tick rule and bulk volume is compared. The main result that was obtained is the bias of metric on the different types of classifications. It is established that the measure of VPIN based on the bulk volume classification has deviations on historical data from the measure of VPIN using the original data on the initiator of the transaction. Using the modified VPIN metric, nine information events that occurred in 2016-2017 were considered.