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Search: subject:"Lee-Ready algorithm"
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Lee-Ready algorithm
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Limit order book
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Securities trading
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Blais, Marcel
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Annals of Finance
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ECONIS (ZBW)
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Reconstruction of order flows using aggregated data
Toke, Ioane Muni
- In:
Market microstructure and liquidity
2
(
2016
)
2
,
pp. 1-34
Persistent link: https://www.econbiz.de/10011588245
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2
Signing trades and an evaluation of the
Lee–Ready
algorithm
Blais, Marcel
;
Protter, Philip
- In:
Annals of Finance
8
(
2012
)
1
,
pp. 1-13
Persistent link: https://www.econbiz.de/10010866510
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3
Short sales, long sales, and the Lee-Ready trade classification algorithm revisited
Chakrabarty, Bidisha
;
Moulton, Pamela C.
;
Shkilko, Andriy
- In:
Journal of financial markets
15
(
2012
)
4
,
pp. 467-491
Persistent link: https://www.econbiz.de/10009655266
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