A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data
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Bibliographic InfoArticle provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.
Volume (Year): 35 (2000)
Issue (Month): 04 (December)
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- Marcel Blais & Philip Protter, 2012. "Signing trades and an evaluation of the Lee–Ready algorithm," Annals of Finance, Springer, vol. 8(1), pages 1-13, February.
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- Chakrabarty, Bidisha & Li, Bingguang & Nguyen, Vanthuan & Van Ness, Robert A., 2007. "Trade classification algorithms for electronic communications network trades," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3806-3821, December.
- Peterson, Mark & Sirri, Erik, 2003. "Evaluation of the biases in execution cost estimation using trade and quote data," Journal of Financial Markets, Elsevier, vol. 6(3), pages 259-280, May.
- Axioglou, Christos & Skouras, Spyros, 2011. "Markets change every day: Evidence from the memory of trade direction," Journal of Empirical Finance, Elsevier, vol. 18(3), pages 423-446, June.
- Paul Asquith & Rebecca Oman & Christopher Safaya, 2008. "Short Sales and Trade Classification Algorithms," NBER Working Papers 14158, National Bureau of Economic Research, Inc.
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