Evaluating trade classification algorithms : bulk volume classification versus the tick rule and the Lee-Ready algorithm
Bidisha Chakrabarty, Roberto Pascual, Andriy Shkilko
| Year of publication: |
September 2015
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|---|---|
| Authors: | Chakrabarty, Bidisha ; Pascual, Roberto ; Shkilko, Andriy |
| Published in: |
Journal of financial markets. - Amsterdam [u.a.] : Elsevier, ISSN 1386-4181, ZDB-ID 1402747-1. - Vol. 25.2015, p. 52-79
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| Subject: | Trade classification | Bulk volume classification | Tick rule | Lee and Ready | VPIN | Wertpapierhandel | Securities trading | Klassifikation | Classification | Algorithmus | Algorithm | Handelsvolumen der Börse | Trading volume | Geld-Brief-Spanne | Bid-ask spread |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.finmar.2015.06.001 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011477268