ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of…
# Inferring Trade Direction from Intraday Data
> OpenAlex Metadata Hub · https://openalex.org/W2093362178
## Bibliographic
- **DOI:** 10.1111/j.1540-6261.1991.tb02683.x
- **Year:** 1991
- **Citations:** 3043
- **Open Access:** No (closed)
- **License:** —
- **Source:** https://doi.org/10.1111/j.1540-6261.1991.tb02683.x
## Authors
- Charles M.C. Lee
- Mark J. Ready
## Abstract
ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.
## Keywords
Context (archaeology), Simple (philosophy), Computer science, Econometrics, Business, Economics, Geography
## Concepts
- Context (archaeology)
- Simple (philosophy)
- Computer science
- Econometrics
- Business
- Economics
- Geography
- Philosophy
- Epistemology
- Archaeology
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*Metadata only — full text not imported unless Open Access license permits.*
Bài “Inferring Trade Direction from Intraday Data” được TradingBase chuyển thành Knowledge Product cho trader — không phải trang đọc abstract OpenAlex.
Tóm lược học thuật (đã diễn giải): ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.
Phần Trading Insights bên dưới nối nghiên cứu với Forex, vàng, USD, lãi suất và risk regime — để bạn đưa vào journal và playbook.
Metadata DOI/OA chỉ là rail tham chiếu; nội dung chính là summary, takeaways và ứng dụng thị trường do Content Factory sinh.
1. ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data.
2. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable.
3. These problems are analyzed in the context of the interaction between exchange floor agents.
4. We then propose and test relatively simple procedures for improving trade classifications.
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