Inferring Trade Direction from Intraday Data

Keywords

Context (archaeology), Simple (philosophy), Computer science, Econometrics, Business

References

• The stock exchange specialist system : an economic analysisHans R. Stoll — 1985
• Information dissemination and the small trader : an intraday analysis of the small trader response to announcements of corporate earnings and changes in dividend policyCharles M.C. Lee — 1990
• A Day-End Transaction Price AnomalyLawrence Harris — 1989
• Trades, quotes, inventories, and informationJoel Hasbrouck — 1988
• An algebra for evaluating hedge portfoliosMark B. Garman — 1976
• The effect of large block transactions on security prices: A cross-sectional analysisRobert W. Holthausen, Richard Leftwich, David Mayers — 1987
• Order Imbalances and Stock Price Movements on October 19 and 20, 1987Marshall E. Blume, A. Craig MacKinlay, Bruce E. Terker — 1989
• Market microstructureMark B. Garman — 1976

Cited by

• Transaction size and effective spread: An informational relationshipThomas Henker, Robert Kohn, Yuewen Xia — 2008
• Two Essays on the Probability of Informed TradingMarius Popescu — 2007
• Corporate Diversification, Asymmetric Information, and Firm Value: Evidence from Stock Market Trading CharacteristicsShawn Thomas, C. Edward Fee — 2000
• The Breakdown of Standard Microstructure Techniques: And What to Do About itCraig W. Holden, Stacey E. Jacobsen — 2011
• High-Frequency Market Making to Large Institutional TradesRobert A. Korajczyk, Dermot Murphy — 2018
• The Impact of Limit Order Handling on the NYSE and Nasdaq Transaction CostsRobin K. Chou — 2005
• Meeting Daubert Standards in Calculating Damages For Shareholder Class Action LitigationLinda Allen — 2007
• INSIDER TRADING IN THE SPANISH STOCK MARKETAnalisis Economico, Y Contabilidad, Miguel de Unamuno — 2001
• Essays on security issuanceBrett C. Olsen — 2007
• Price Behaviour Surrounding Blocks: Asymmetric or Bid-Ask BiasAlex Frino, Vito Mollica, Terry S. Walter — 2003
• Short Term Momentum: Role of Investor Sentiment in Return FormationYuqing Sha — 2012
• THE EFFECT OF EARNINGS ANNOUNCEMENTS ON TRADING OUTCOMES FOR DIFFERENT INVESTOR CLASSESJames Vincent — 2010
• INTRA-DAY CO-MOVEMENT AMONG STOCK RETURNS IN US BANKSShadi Najiazar — 2009
• Corporate governance, disclosure method and information asymmetryYifang Wan — 2009
• Probability of Informed Trading? Some Evidences Around Corporate EventsNihat Aktas, Eric de Bodt, Fany Declerck — 2003
• A Direct Approach to Cross Market SpilloversSiri Valseth, Kjell Jørgensen — 2011
• Probability of Information-Based Trading as a Pricing Factor in Taiwan Stock MarketRalph C. Lu, Woon K. Wong — 2008
• Does corporate ownership impact the probability of informed tradingSyed Walid Reza — 2008
• The Trading Behaviour of Australian Treasury Bond Futures Overnight Options and the Impact of Their IntroductionLawrence C. Rose, John Pinfold, Liping Zou — 2003
• Modification de la valeur nominale des actions et gestion de l'actionnariat : le cas français de 2003 à 2007Bruno Pecchioli — 2010

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