Order flow toxicity is a measure of a trader's exposure to the risk that counter-parties possess private information or other informational advantages. High levels of order flow toxicity can culminate in market makers providing liquidity at a loss or in suboptimal execution of trades. From a regulatory perspective, high levels of toxicity can be harmful to overall market liquidity and precede precipitous drops in asset prices. Bulk Volume VPIN (BV-VPIN) is one way of measuring the "toxicity" component of order flow that has been successfully applied in High Frequency Trading (HFT) environments. We apply the BV-VPIN to daily data for a range of international indices to extend previous analysis of its properties. We find that a rise in BV-VPIN effectively foreshadows high-levels of volatility in the equities indices of several countries. If a BV-VPIN futures contract exists, we show that it would exhibit safe haven characteristics during market downturns. In particular, a simple active portfolio management strategy that times investments in equities (risk-free asset) when BV-VPIN levels are low (high) outperforms a buy-and-hold strategy. Thus, we find support for the application of BV-VPIN in international equities.

中文翻译：

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BV-VPIN：衡量订单流毒性和流动性对国际股票市场的影响

订单流毒性衡量交易者面临的风险敞口，即交易对手拥有私人信息或其他信息优势。高水平的订单流毒性最终会导致做市商在亏损或交易执行不理想的情况下提供流动性。从监管角度来看，高毒性可能对整体市场流动性有害，并会导致资产价格急剧下跌。Bulk Volume VPIN (BV-VPIN) 是一种衡量订单流“毒性”成分的方法，已成功应用于高频交易 (HFT) 环境。我们将 BV-VPIN 应用于一系列国际指数的每日数据，以扩展之前对其属性的分析。我们发现 BV-VPIN 的上升有效地预示了几个国家股票指数的高度波动。如果存在 BV-VPIN 期货合约，我们表明它将在市场低迷期间表现出避险特性。特别是，当 BV-VPIN 水平低（高）时，一个简单的主动投资组合管理策略比买入并持有策略更好。因此，我们发现支持 BV-VPIN 在国际股票中的应用。