About this question
Medium · Market Microstructure · Quant Trader interview question · market-microstructure, vpin, informed-trading, adverse-selection
In high-frequency trading, you observe a consistently high Volume-Synchronized Probability of Informed Trading (VPIN) metric for a particular stock. Assuming the VPIN calculation is accurate, what does this signal about the current market microstructure for that stock? VPIN is designed to estimate the probability of informed trading, and higher values generally indicate more toxic flow.