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Bulk Classification of Trading Activity · Study

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PreprintBulk Classification of Trading Activity

David A. Easley2012

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Preprintgreen2012

Bulk Classification of Trading Activity

David A. Easley · Marcos López de Prado · Maureen O’Hara

42 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Stock Market Forecasting Methods

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References

1994Automatic Lag Selection in Covariance Matrix Estimation 1991Inferring Trade Direction from Intraday Data 1973A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices 1980The Extreme Value Method for Estimating the Variance of the Rate of Return 2000Nonlinear Time Series Models in Empirical Finance 1967On the Distribution of Stock Price Differences 2004The “make or take” decision in an electronic market: Evidence on the evolution of liquidity 2000The Accuracy of Trade Classification Rules: Evidence from Nasdaq

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2013Reflecting on the VPIN Dispute 2013VPIN and the Flash Crash: A rejoinder

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Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations42

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1989555

openalex_workW1547818237

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