VPIN and the Flash Crash: A rejoinder

Andersen and Bondarenko's paper “VPIN and the Flash Crash” is essentially a comment on our 2011 Journal of Portfolio Management paper using our measure of order toxicity, VPIN. Andersen and Bondarenko dispute our empirical findings and argue that VPIN essentially does not work. This is incorrect, and is refuted by results in AB and by independent research. Far from “replicating” our results, AB attack a methodology we do not advocate, an analysis we never performed, and conclusions we did not draw. Our note here makes clear why microstructure features play an important role in understanding price dynamics.