Article ID Journal Published Year Pages File Type
961026 Journal of Financial Markets 2012 25 Pages PDF
Abstract
► Lee-Ready correctly finds most short (long) sales are buyer‐ (seller‐) initiated. ► At the daily level, misclassification rates are near zero. ► At the trade level, misclassification rates are >30% using contemporaneous quotes. ► Lagging quotes by one second reduces trade-level misclassification to 20%. ► Short sellers' and long sellers' conditional aggressiveness patterns are similar.
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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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Short sales, long sales, and the Lee-Ready trade classification algorithm revisited
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