Get 20M+ Full-Text Papers For Less Than $1.50/day. Start a 14-Day Trial for You or Your Team.

Learn More →

Inferring Trade Direction from Intraday Data

Inferring Trade Direction from Intraday Data ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png The Journal of Finance Wiley

Inferring Trade Direction from Intraday Data

The Journal of Finance , Volume 46 (2) – Jun 1, 1991

Loading next page...
 
/lp/wiley/inferring-trade-direction-from-intraday-data-TIKresq8Rt

References (8)

Publisher
Wiley
Copyright
1991 The American Finance Association
ISSN
0022-1082
eISSN
1540-6261
DOI
10.1111/j.1540-6261.1991.tb02683.x
Publisher site
See Article on Publisher Site

Abstract

ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.

Journal

The Journal of FinanceWiley

Published: Jun 1, 1991

There are no references for this article.