Inferring Trade Direction from Intraday Data.
This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. The authors document two potential problems with quote-based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. The authors then propose and test relatively simple procedures for improving trade classifications. Copyright 1991 by American Finance Association.
Year of publication: |
1991
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Authors: | Lee, Charles M C ; Ready, Mark J |
Published in: |
Journal of Finance. - American Finance Association - AFA, ISSN 1540-6261. - Vol. 46.1991, 2, p. 733-46
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Publisher: |
American Finance Association - AFA |
Saved in:
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