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Cited by 3,147

The DOI matches its Crossref record; 5 of the 5 references it cites were found in a registry or an index.

Inferring Trade Direction from Intraday Data

Open access
LEE, CHARLES M. C., READY, MARK J.·1991·The Journal of Finance
DOI 10.1111/j.1540-6261.1991.tb02683.x
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Abstract

This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.

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Crossref · 10.1111/j.1540-6261.1991.tb02683.x

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Metadata

Authors
LEE, C. M. C., & READY, M. J.
Venue
The Journal of Finance
Publisher
Wiley
Published
1991-06
Volume
46
Issue
2
Pages
733-746
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1111/j.1540-6261.1991.tb02683.x
OpenAlex
W2093362178
Cited by
3,147
References
5
FWCI
19.23
Type
journal article
Language
en
Open access
bronze

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CoChat. (2026). Citation check: Inferring Trade Direction from Intraday Data. https://app.cochat.ai/papers/10.1111/j.1540-6261.1991.tb02683.x
The paper
LEE, C. M. C., & READY, M. J. (1991). Inferring Trade Direction from Intraday Data. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1991.tb02683.x

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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.