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Trading system upgrades and short-sale bans : uncoupling the effects of technology and regulation

Chakrabarty, Bidisha; Moulton, Pamela C.; Pascual, Roberto - In: Journal of empirical finance 43 (2017), pp. 74-90

Persistent link: https://www.econbiz.de/10011817909

Evaluating trade classification algorithms : bulk volume classification versus the tick rule and the Lee-Ready algorithm

Chakrabarty, Bidisha; Pascual, Roberto; Shkilko, Andriy - In: Journal of financial markets 25 (2015), pp. 52-79

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Stock liquidity and algorithmic market making during the COVID-19 crisis

Chakrabarty, Bidisha; Pascual, Roberto - In: Journal of banking & finance 147 (2023), pp. 1-16

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Evaluating Trade Classification Algorithms : Bulk Volume Classification versus the Tick Rule and the Lee-Ready Algorithm

Chakrabarty, Bidisha - 2015

We compare the accuracy of the Bulk Volume classification (BVC) to that of the conventional rules: the tick rule (TR) and the Lee-Ready algorithm (LR) for a large sample of equities. TR and LR produce significantly better classifications than does BVC. This result applies to stocks of all sizes,...

Persistent link: https://www.econbiz.de/10013036214