mlfinlab.microstructural_features.third_generation

Third generation models implementation (VPIN).

Module Contents

Functions

get_vpin(→ pandas.Series)

Advances in Financial Machine Learning, p. 292-293.
get_vpin(volume: pandas.Series, buy_volume: pandas.Series, window: int = 1) → pandas.Series

Advances in Financial Machine Learning, p. 292-293.

Get Volume-Synchronized Probability of Informed Trading (VPIN) from bars.

Parameters:

  • volume – (pd.Series) Bar volume.

  • buy_volume – (pd.Series) Bar volume classified as buy (either tick rule, BVC or aggressor side methods applied).

  • window – (int) Estimation window.

Returns:

(pd.Series) VPIN series.