Inferring Trade Direction from Intraday Data
Author:
Publisher
Wiley
Subject
Economics and Econometrics,Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1540-6261.1991.tb02683.x/fullpdf
Reference8 articles.
1. Order imbalances and stock price movements on October 19 and 20, 1987;Blume;Journal of Finance,1989
2. Market microstructure;Garman;Journal of Financial Economics,1976
3. A day-end transaction price anomaly;Harris;Journal of Financial and Quantitative Analysis,1989
4. Trades, quotes, inventories, and information;Hasbrouck;Journal of Financial Economics,1988
5. The effect of large block transactions on security prices: A cross-sectional analysis;Holthausen;Journal of Financial Economics,1987
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