Inferring trader behavior from transaction data: A trade count model
Author:
Publisher
Springer Science and Business Media LLC
Subject
Economics and Econometrics,Finance
Link
http://link.springer.com/content/pdf/10.1007/BF02885720.pdf
Reference41 articles.
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3. Barclay, M. and J. Warner. 1993. “Stealth Trading and Volatility: Which Trades Move Prices?”Journal of Financial Economics 34: 281–305.
4. Barron, O. and J. Karpoff. 2004. “Information Precision, Transaction Costs, and Trading Volume.”Journal of Banking and Finance 28: 1207–1223.
5. Boehmer, E., J. Grammig, and E. Theissen. 2005. “Estimating the Probability of Informed Trading-Does Trade Misclassification Matter?”Working paper.
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