Michayluk, David; Prather, Laurie - In: Multinational Finance Journal 12 (2008) 1-2, pp. 45-66
Most exchanges do not report trade direction thus researchers and traders must deduce whether a trade is buyer or … market for immediacy. Algorithms that assign trade direction based on the proximity to bid or ask quotes are easily …. Using the New York Stock Exchange Trades, Orders and Quotes database, systematic biases in existing trade direction …