A Trade Classification Algorithm from Market Quotes 1.0

Date Added: August 08, 2013 | Visits: 362

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This routine uses bid and ask quotes sample intradaily at a uniform frequency to classify the implied origin of market trading activity. It computes the implied number of sell-initiated, buy-initiated trades, and trades with no discernible sign (denoted as 'no trades'). The classification algorithm used here follows Lee and Ready (1996).A pdf file with an outline of the trade classification algorithm is also included.Reference:Lee, C. M. C., and M. J. Ready (1991), "Inferring Trade Direction from Intraday Data", Journal of Finance, 46 (2), 733-746.

Requirements: No special requirements

Platforms: Matlab

Keyword: Algorithm, Classification, Denoted, Included, Journal, Outline, Ready, Reference, Trade

Users rating: 0/10

License: Shareware

Size: 92.16 KB

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A TRADE CLASSIFICATION ALGORITHM FROM MARKET QUOTES RELATED

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