This study directly tests the ability of several competing methods to identify market buy and sell orders using intra-day quote and trade prices, and identifies factors that affect the accuracy of the methods. Lee and Ready's (1991) algorithm performs about the same as the tick test, but the...

This study directly tests the ability of several competing methods to identify market buy and sell orders using intra-day quote and trade prices, and identifies factors that affect the accuracy of the methods. Lee and Ready's (1991) algorithm performs about the same as the tick test, but the...

This study describes and tests a simple, efficient method of approximating stochastic volatility call option prices that is lattice based, and can easily accommodate the value of early exercise for American options. The proposed model exploits the fact that stochastic volatility call option...

This study examines the implied volatility expiration week effect using intra-day bid and ask quotes on Samp;P 100 index options and intra-day returns on the underlying index. By using a time series model to construct a measure of unexpected variance, we show that only expiring index options...