A Trade Classification Algorithm from Market Quotes

This function computes the number of intradaily market trades that are buy- or sell-initiated.
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更新 2011/12/28


This routine uses bid and ask quotes sample intradaily at a uniform frequency to classify the implied origin of market trading activity. It computes the implied number of sell-initiated, buy-initiated trades, and trades with no discernible sign (denoted as 'no trades'). The classification algorithm used here follows Lee and Ready (1996).

A pdf file with an outline of the trade classification algorithm is also included.


Lee, C. M. C., and M. J. Ready (1991), "Inferring Trade Direction from Intraday Data", Journal of Finance, 46 (2), 733-746.


Paolo Zagaglia (2024). A Trade Classification Algorithm from Market Quotes (https://www.mathworks.com/matlabcentral/fileexchange/34376-a-trade-classification-algorithm-from-market-quotes), MATLAB Central File Exchange. 取得済み .

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