Perlin, Marcelo; Brooks, Chris; Dufour, Alfonso - In: The Quarterly Review of Economics and Finance 54 (2014) 1, pp. 42-50
In financial research, the sign of a trade (or identity of trade aggressor) is not always available in the transaction dataset and it can be estimated using a simple set of rules called the tick test. In this paper we investigate the accuracy of the tick test from an analytical perspective by...
