search query: @author Odders-White, E. R. / total: 2
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| Author: | Odders-White, E. R. |
| Title: | On the occurence and consequences of inaccurate trade classification |
| Journal: | Journal of Financial Markets
2000 : AUG, VOL. 3:3, p. 259-286 |
| Index terms: | Money markets Market structure Algorithms |
| Language: | eng |
| Abstract: | The valitity of many economic studies hinges on the ability to properly classify trades as buyer or seller-initiated. The study uses the TORQ data to investigate the performance of the Lee and Ready trade classification algorithm. |
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