Aktas, Osman Ulas; Kryzanowski, Lawrence - In: Journal of International Financial Markets, … 33 (2014) C, pp. 259-282
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...
