Qu'est-ce que « Flow toxicity, VPIN » ?

Flow toxicity is the adverse selection that order flow imposes on the liquidity providers who trade against it: its aggressors are informed, and the resting side loses on average. VPIN (volume-synchronised probability of informed trading) cuts the trade sequence into buckets of equal volume $V$ and, at the end of each bucket, averages $|V^B_\tau - V^S_\tau|/V$ over the last $n$ buckets, with $V^B_\tau$ and $V^S_\tau$ the bucket’s buy and sell volume.