A test of the accuracy of the Lee/Ready trade classification algorithm

Journal of International Financial Markets, Institutions and Money

Volumn 11, Issue 2, 2001, Pages 147-165

  Theissen, Erik ^a  

^a UNIVERSITY OF BONN   (Germany)

Author keywords

Bid ask spread; G10; Lee Ready method; Tick test

Indexed keywords

EID: 0041738089     PISSN: 10424431     EISSN: None     Source Type: Journal    
DOI: 10.1016/S1042-4431(00)00048-2     Document Type: Article

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