Similar Search Results

Short sales, and trade classification algorithms

Asquith, Paul; Oman, Rebecca; Safaya, Christopher - 2008

commonly used trade classification algorithms. This result is due in part to regulations which require short sales be executed … literature as well as to measures that rely upon trade classification, such as the probability of informed trading (PIN) metric …

Persistent link: https://www.econbiz.de/10003739193

Short sales and trade classification algorithms

Asquith, Paul; Oman, Rebecca; Safaya, Christopher - In: Journal of financial markets 13 (2010) 1, pp. 157-173

Persistent link: https://www.econbiz.de/10003935486

Short Sales and Trade Classification Algorithms

Asquith, Paul - 2010

used trade classification algorithms. This result is due in part to regulations which require short sales be executed on an … literature as well as to measures that rely upon trade classification, such as the probability of informed trading (PIN) metric …

Persistent link: https://www.econbiz.de/10012758604

Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Chakrabarty, Bidisha - 2012

Asquith, Oman, and Safaya (2010) conclude that short sales are often misclassified by the Lee-Ready algorithm. The algorithm identifies most short sales as buyer-initiated, whereas the authors posit that short sales should be overwhelmingly seller-initiated. Using order data to identify true...

Persistent link: https://www.econbiz.de/10013115258

Rebuttal of Short Sales, Long Sales, and the Lee-Ready Trade Classification Algorithm Revisited

Asquith, Paul - 2013

Chakrabarty, Moulton and Shkilko (2012) claim that they redo Asquith, Oman, and Safaya (2010) and obtain different results. This note shows Chakrabarty, et al. (2012) only redid a portion of Asquith, et al. (2010) and their results for that portion are the same as Asquith, et al. (2010)....

Persistent link: https://www.econbiz.de/10013088297