Journal of Financial Markets
Vol. 25
2015
Evaluating trade classification algorithms: Bulk volume classification versus the tick rule and the Lee-Ready algorithm
Bidisha
Chakrabarty1;
Roberto
Pascual2;
Andriy
Shkilko3
1 Saint Louis University · 2 Universitat de les Illes Balears · 3 Wilfrid Laurier University
- DOI
- 10.1016/j.finmar.2015.06.001
- Volume
- 25
- Pages
- 52-79
- Language
- en
- Sources
-
crossref
openalex
Cite