Grauer, Caroline; Schuster, Philipp; Uhrig-Homburg, Marliese - 2022
We evaluate the performance of common stock trade classification algorithms including the quote, tick, Lee and Ready (1991), and Ellis, Michaely, and O’Hara (2000) rule to infer the trade direction of option trades. Using a large sample of matched intraday transactions and Open/Close data, we...