Inferring Trade Direction from Intraday Data.

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Lee, Charles M C; Ready, Mark J;
  • Journal: Journal of Finance, volume 46, issue 2 June, pages 733-46

This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. The authors document two potential problems with quote-based methods of trade classification: quotes may be recorded ahead... View more
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