Rosenthal, Dale W. R. - In: Journal of Financial Econometrics 10 (2012) 2, pp. 390-415
I propose a modeling approach to classifying trades as buys or sells. Modeled classifications consider information strengths, microstructure effects, and classification correlations. I also propose estimators for quotes prevailing at trade time. Comparisons using 2800 U.S. stocks show modeled...