The accuracy of the tick test: Evidence from the Australian stock exchange
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Banking & Finance.
Volume (Year): 20 (1996)
Issue (Month): 10 (December)
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Web page: http://www.elsevier.com/locate/jbf
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Adam Blazejewski & Richard Coggins, 2004. "A local non-parametric model for trade sign inference," Finance 0408009, EconWPA.
- Tanggaard, Carsten, 2003. "Errors in Trade Classification: Consequences and Remedies," Finance Working Papers 03-6, University of Aarhus, Aarhus School of Business, Department of Business Studies.
- Frino, Alex & Lecce, Steven & Segara, Reuben, 2011. "The impact of trading halts on liquidity and price volatility: Evidence from the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 19(3), pages 298-307, June.
- Berkman, Henk & Koch, Paul D., 2008. "Noise trading and the price formation process," Journal of Empirical Finance, Elsevier, vol. 15(2), pages 232-250, March.
- Dar-Hsin Chen & Lloyd P. Blenman, 2003. "An Extended Model of Serial Covariance Bid-Ask Spreads," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 2(1), pages 75-83, April.
- Adam Blazejewski & Richard Coggins, 2004. "A piecewise linear model for trade sign inference," Finance 0412012, EconWPA.
- Theissen, Erik, 2001. "A test of the accuracy of the Lee/Ready trade classification algorithm," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 11(2), pages 147-165, June.
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"The Components of the Bid-Ask Spread: the Case of the Athens Stock Exchange,"
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- Timotheos Angelidis & Alexandros Benos, . "The Components of the Bid-Ask Spread: The case of the Athens Stock Exchange," Working Papers 0615, University of Crete, Department of Economics.
- Frino, Alex & Jarnecic, Elvis & Johnstone, David & Lepone, Andrew, 2005. "Bid-ask bounce and the measurement of price behavior around block trades on the Australian Stock Exchange," Pacific-Basin Finance Journal, Elsevier, vol. 13(3), pages 247-262, June.
- Brown, Philip & Thomson, Nathanial & Walsh, David, 1999. "Characteristics of the order flow through an electronic open limit order book," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 9(4), pages 335-357, November.
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