Trade classification accuracy for the BIST

The accuracy of five algorithms for classifying trades as buyer- or seller-initiated is assessed for BIST-30 index constituents over a period including the Lehman collapse. The highest classification accuracy rate (over 95%) is for the one-second lagged Lee & Ready (LR) algorithm. The LR's classification accuracy is highest (lowest) for trades representing mixed agency and principal (pure principal) relations between clients and executing brokers. Unlike for U.S. markets, almost all trades are classifiable with accuracy rates of 90-plus percent for both long and short trades. As for U.S. markets, higher misclassification rates occur for trades in the first versus last 30min of the trading day, as the time between consecutive trades decreases, and for decreasing trade sizes.