Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm
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DOI: 10.1016/j.finmar.2015.06.001
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References listed on IDEAS
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Citations
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Cited by:
- Ivan Indriawan & Feng Jiao & Yiuman Tse, 2019. "The impact of the US stock market opening on price discovery of government bond futures," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(7), pages 779-802, July.
- repec:uts:finphd:39 is not listed on IDEAS
- Xu, Liao & Xu, Lu & Zhao, Jing & Zhao, Yang, 2020. "Information-based trading and information propagation: Evidence from the exchange traded fund market," International Review of Financial Analysis, Elsevier, vol. 70(C).
- Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022.
"Information and the arrival rate of option trading volume,"
Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(4), pages 605-644, April.
- Mengyu Zhang & Thanos Verousis & Iordanis Kalaitzoglou, 2022. "Information and the arrival rate of option trading volume," Post-Print hal-03648997, HAL.
- Easley, David & de Prado, Marcos Lopez & O'Hara, Maureen, 2016. "Discerning information from trade data," Journal of Financial Economics, Elsevier, vol. 120(2), pages 269-285.
- Allen Carrion & Madhuparna Kolay, 2020. "Trade signing in fast markets," The Financial Review, Eastern Finance Association, vol. 55(3), pages 385-404, August.
- Abad, David & Massot, Magdalena & Pascual, Roberto, 2018. "Evaluating VPIN as a trigger for single-stock circuit breakers," Journal of Banking & Finance, Elsevier, vol. 86(C), pages 21-36.
- Imtiaz Mohammad Sifat & Azhar Mohamad, 2019. "Circuit breakers as market stability levers: A survey of research, praxis, and challenges," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 24(3), pages 1130-1169, July.
- Vincent Grégoire & Charles Martineau, 2022. "How is Earnings News Transmitted to Stock Prices?," Journal of Accounting Research, Wiley Blackwell, vol. 60(1), pages 261-297, March.
- Hagströmer, Björn, 2021. "Bias in the effective bid-ask spread," Journal of Financial Economics, Elsevier, vol. 142(1), pages 314-337.
- Sifat, Imtiaz Mohammad & Mohamad, Azhar, 2020. "A survey on the magnet effect of circuit breakers in financial markets," International Review of Economics & Finance, Elsevier, vol. 69(C), pages 138-151.
- Bernile, Gennaro & Hu, Jianfeng & Tang, Yuehua, 2016. "Can information be locked up? Informed trading ahead of macro-news announcements," Journal of Financial Economics, Elsevier, vol. 121(3), pages 496-520.
- Jurkatis, Simon, 2022.
"Inferring trade directions in fast markets,"
Journal of Financial Markets, Elsevier, vol. 58(C).
- Jurkatis, Simon, 2020. "Inferring trade directions in fast markets," Bank of England working papers 896, Bank of England.
- Nguyet Nguyen, 2022. "Informed Trading in Dark Pools: Fair-Access Dark Venue vs. Restricted-Access Dark Venues," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 12(02), pages 1-37, June.
- Rzayev, Khaladdin & Ibikunle, Gbenga, 2019. "A state-space modeling of the information content of trading volume," Journal of Financial Markets, Elsevier, vol. 46(C).
- Su, Fei, 2021. "Conditional volatility persistence and volatility spillovers in the foreign exchange market," Research in International Business and Finance, Elsevier, vol. 55(C).
- Fei Su, 2018. "Essays on Price Discovery and Volatility Dynamics in the Foreign Exchange Market," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2-2018, January-A.
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- Andriy Shkilko & Konstantin Sokolov, 2020. "Every Cloud Has a Silver Lining: Fast Trading, Microwave Connectivity, and Trading Costs," Journal of Finance, American Finance Association, vol. 75(6), pages 2899-2927, December.
- Abhinava Tripathi & Vipul & Alok Dixit, 2020. "Liquidity commonality beyond best prices: Indian evidence," Journal of Asset Management, Palgrave Macmillan, vol. 21(4), pages 355-373, July.
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More about this item
Keywords
Trade classification; Bulk volume classification; Tick rule; Lee and Ready; VPIN;All these keywords.
JEL classification:
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- G29 - Financial Economics - - Financial Institutions and Services - - - Other
Statistics
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