A Direct Test of Methods for Inferring Trade Direction from Intra-Day Data
暂无分享,去创建一个
[1] Herbert M. Kaufman,et al. A Cross-Exchange Comparison of Execution Costs and Information Flow for Nyse-Listed Stocks , 1997 .
[2] Atulya Sarin,et al. The Allocation of Informed Trading Across Related Markets: An Analysis of the Impact of Changes in Equity-Option Margin Requirements , 1995 .
[3] S. Viswanathan,et al. Variations in Trading Volume, Return Volatility, and Trading Costs: Evidence on Recent Price Formation Models , 1993 .
[4] Louis K.C. Chan,et al. The Behavior of Stock Prices Around Institutional Trades , 1993 .
[5] Ananth Madhavan,et al. In Search of Liquidity: Block Trades in the Upstairs and Downstairs Markets , 1997 .
[6] M. Ready,et al. The Specialist's Discretion: Stopped Orders and Price Improvement , 1999 .
[7] R. Lyons,et al. Tests of Microstructural Hypotheses in the Foreign Exchange Market , 1993 .
[8] Avanidhar Subrahmanyam,et al. Using intraday data to test for effects of index futures on the underlying stock markets , 1994 .
[9] M. Brennan,et al. The Determinants of Average Trade Size , 1998 .
[10] Alex Frino,et al. The accuracy of the tick test : evidence from the Australian Stock Exchange , 1996 .
[11] Louis K.C. Chan,et al. Institutional trades and intraday stock price behavior , 1991 .
[12] Atulya Sarin,et al. Testing for micro-structure effects of international dual listings using intraday data , 1996 .
[13] H. Theil. Introduction to econometrics , 1978 .
[14] M. Brennan,et al. Investment analysis and price formation in securities markets , 1995 .
[15] Laura T. Starks,et al. Institutions and Individuals at the Turn-of-the-Year , 1997 .
[16] Herbert M. Kaufman,et al. A Comparison of Trade Execution Costs for NYSE and NASDAQ-Listed Stocks , 1997, Journal of Financial and Quantitative Analysis.
[17] Thomas H. Mcinish,et al. Bids and asks in disequilibrium market microstructure: The case of IBM , 1995 .
[18] Maureen O'Hara,et al. The Accuracy of Trade Classification Rules: Evidence from NASDAQ , 2000 .
[19] P. Schultz,et al. Aftermarket support and underpricing of initial public offerings , 1994 .
[20] David Easley,et al. Liquidity, Information, and Infrequently Traded Stocks , 1996 .
[21] Joel Hasbrouck. Order characteristics and stock price evolution An application to program trading , 1996 .
[22] Nonstandard-Settlement Transactions , 1998 .
[23] P. Schultz,et al. The importance of firm quotes and rapid executions: Evidence from the January 1994 SOES rules changes , 1997 .
[24] Charles M. C. Lee,et al. Inferring Trade Direction from Intraday Data , 1991 .
[25] Charles M. C. Lee. Market Integration and Price Execution for NYSE-Listed Securities , 1993 .
[26] Joel Hasbrouck. The Summary Informativeness of Stock Trades: An Econometric Analysis , 1991 .
[27] Ananth Madhavan,et al. A Bayesian model of intraday specialist pricing , 1991 .
[28] George Sofianos,et al. An empirical analysis of NYSE specialist trading , 1998 .
[29] Maureen O'Hara,et al. Cream-Skimming or Profit-Sharing? The Curious Role of Purchased Order Flow , 1996 .
[30] Atulya Sarin,et al. The Impact of Options Trading on the Market Quality of the Underlying Security: An Empirical Analysis , 1998 .
[31] Maureen O'Hara,et al. Option Volume and Stock Prices: Evidence on Where Informed Traders Trade , 1998 .
[32] Elizabeth R. Odders-White,et al. On the occurrence and consequences of inaccurate trade classification , 2000 .
[33] Hendrik Bessembinder. The Degree of Price Resolution and Equity Trading Costs , 1996 .
[34] B. Radhakrishna,et al. Inferring investor behavior: Evidence from TORQ data , 2000 .
[35] Ananth Madhavan,et al. An Analysis of Changes in Specialist Inventories and Quotations , 1993 .
[36] D. Rubinfeld,et al. Econometric models and economic forecasts , 2002 .
[37] K. Hanley,et al. The Marketing of Closed-end Fund IPOs: Evidence from Transactions Data☆ , 1996 .
[38] Peter J. Knez,et al. Estimating the Profits from Trading Strategies , 1996 .
[39] George Sofianos,et al. The Trades of Market Makers: An Empirical Analysis of NYSE Specialists , 1993 .
[40] M. Petersen,et al. Posted versus effective spreads: Good prices or bad quotes? , 1994 .
[41] Lawrence Harris,et al. Market vs. Limit Orders: The SuperDOT Evidence on Order Submission Strategy , 1996, Journal of Financial and Quantitative Analysis.
[42] Joel Hasbrouck,et al. Assessing the Quality of a Security Market: A New Approach to Transaction-Cost Measurement , 1993 .
[43] Sugato Chakravarty,et al. Does Insider Trading Really Move Stock Prices? , 1999, Journal of Financial and Quantitative Analysis.
[44] M. Flannery. Comment on Benveniste, Erdal and Wilhelm, Jr , 1998 .
[45] Lawrence M. Benveniste,et al. Who benefits from secondary market price stabilization of IOPs , 1998 .