INFERRING TRADE DIRECTION FROM INTRADAY DATA

被引：1455

作者：

LEE, CMC ^{[1
]}

READY, MJ ^{[1
]}

机构：

[1] UNIV WISCONSIN,FINANCE,MADISON,WI 53706

来源：

JOURNAL OF FINANCE | 1991年 / 46卷 / 02期

关键词：

D O I：

10.2307/2328845

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

引用

收藏

页码：733 / 746

页数：14

相关论文

共 8 条

[1] ORDER IMBALANCES AND STOCK-PRICE MOVEMENTS ON OCTOBER 19 AND 20, 1987
BLUME, ME
MACKINLAY, AC
TERKER, B
[J]. JOURNAL OF FINANCE, 1989, 44 (04) : 827 - 848
[2] MARKET MICROSTRUCTURE
GARMAN, MB
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1976, 3 (03) : 257 - 275
[3] A DAY-END TRANSACTION PRICE ANOMALY
HARRIS, L
[J]. JOURNAL OF FINANCIAL AND QUANTITATIVE ANALYSIS, 1989, 24 (01) : 29 - 45
[4] TRADES, QUOTES, INVENTORIES, AND INFORMATION
HASBROUCK, J
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1988, 22 (02) : 229 - 252
[5] THE EFFECT OF LARGE BLOCK TRANSACTIONS ON SECURITY PRICES - A CROSS-SECTIONAL ANALYSIS
HOLTHAUSEN, RW
LEFTWICH, RW
MAYERS, D
[J]. JOURNAL OF FINANCIAL ECONOMICS, 1987, 19 (02) : 237 - 267
[6] LEE CMC, 1990, THESIS CORNELL U
[7] Smidt S, 1985, FUTURES MARKETS REGU, P49
[8] STOLL HR, 1985, NEW YORK U MONOGRAPH, P1