Concepedia

Toxic Order Flow

Toxic Order Flow is an academic construct in financial economics denoting a pattern of trading activity wherein informed traders systematically submit orders that adversely select market makers, thereby degrading market quality and distinguishing it from uninformed or balanced order flow.

9

Publications

1.2K

Citations

15

Authors

20

Institutions

Publications per year

2017–2026

1

Parents

Publications

9

Flow Toxicity and Liquidity in a High-frequency World

David Easley, Marcos López de Prado, Maureen O’Hara · Review of Financial Studies · 2012 · 542 citations

, , +16

The Microstructure of the “Flash Crash”: <i>Flow Toxicity, Liquidity Crashes, and the Probability of Informed Trading</i>

David Easley, Marcos López de Prado, Maureen O’Hara · The Journal of Portfolio Management · 2011 · 405 citations

, , +17

The Microstructure of the ‘Flash Crash’: Flow Toxicity, Liquidity Crashes and the Probability of Informed Trading

David Easley, Marcos López de Prado, Maureen O’Hara · SSRN Electronic Journal · 2010 · 121 citations · Full text

, , +17

Assessing Measures of Order Flow Toxicity and Early Warning Signals for Market Turbulence

Torben G. Andersen, Oleg Bondarenko · European Finance Review · 2014 · 64 citations · Full text

, , +16

From PIN to VPIN: An introduction to order flow toxicity

David Abad, José Yagüe · The Spanish Review of Financial Economics · 2012 · 61 citations

, , +4

1–5 of 9

Authors

15

  1. DE
    David Easley

    Cornell University, United States

    3 publications · 1.1K citations

    3

    h-index

  2. MO
    Maureen O’Hara

    Cornell University, United States

    3 publications · 1.1K citations

    3

    h-index

  3. ML
    Marcos López de Prado

    Cornell University, United States

    3 publications · 1.1K citations

    3

    h-index

  4. TG
    Torben G. Andersen

    Northwestern University, United States

    2 publications · 74 citations

    2

    h-index

  5. OB
    Oleg Bondarenko

    University of Illinois Chicago, United States

    2 publications · 74 citations

    2

    h-index

1–5 of 15

Institutions

20

  1. Cornell University

    Ithaca, United States

    3 h-index

    7 publications

    2.3K citations

  2. University of Illinois Chicago

    Chicago, United States

    2 h-index

    3 publications

    138 citations

  3. Northwestern University

    Evanston, United States

    2 h-index

    3 publications

    138 citations

  4. Tudor Place

    Washington D.C., United States

    2 h-index

    2 publications

    947 citations

  5. Aarhus University

    Aarhus, Denmark

    1 h-index

    1 publications

    10 citations

  6. National Bureau of Economic Research

    Cambridge, United States

    1 h-index

    1 publications

    10 citations

  7. National Chengchi University

    Taipei, Taiwan

    1 h-index

    1 publications

    13 citations

  8. The University of Sydney

    Sydney, Australia

    1 h-index

    1 publications

    14 citations

1–8 of 20

Venues

  1. Journal of Futures Markets

    2 publications · 27 citations

    2

    h-index

  2. SSRN Electronic Journal

    Repository · 2 publications · 131 citations

    2

    h-index

  3. Review of Financial Studies

    1 publications · 542 citations

    1

    h-index

  4. The Spanish Review of Financial Economics

    SRFE · 1 publications · 61 citations

    1

    h-index

  5. The Journal of Portfolio Management

    JPM · 1 publications · 405 citations

    1

    h-index

1–5