Abstract

http://ssrn.com/abstract=1989555
 
 

Citations (6)



 


 



Bulk Classification of Trading Activity


David Easley


Cornell University - Department of Economics

Marcos Lopez de Prado


Guggenheim Partners, LLC; Lawrence Berkeley National Laboratory; Harvard University - RCC

Maureen O'Hara


Cornell University - Samuel Curtis Johnson Graduate School of Management

March 20, 2013

Johnson School Research Paper Series No. 8-2012

Abstract:     
In this paper, we investigate the accuracy and efficacy of two methods for classifying trades, the tick rule and the bulk volume classification methodology. Our results indicate that the tick rule is a relatively good classifier of the aggressor side of trading, both for individual trades and in bulk. Bulk volume is shown to also be accurate for classifying buy and sell trades, but unlike the tick rule, bulk volume can also explain trading ranges for high-low prices. Thus, bulk volume would appear to be a useful tool for discerning trading intentions from market data.

Number of Pages in PDF File: 66

Keywords: Trade Classification, Bulk Volume Classification, flow toxicity, volume imbalance, market microstructure

JEL Classification: C02, D52, D53, G14

working papers series





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Date posted: January 23, 2012 ; Last revised: April 2, 2013

Suggested Citation

Easley, David and Lopez de Prado, Marcos and O'Hara, Maureen, Bulk Classification of Trading Activity (March 20, 2013). Johnson School Research Paper Series No. 8-2012. Available at SSRN: http://ssrn.com/abstract=1989555 or http://dx.doi.org/10.2139/ssrn.1989555

Contact Information

David Easley (Contact Author)
Cornell University - Department of Economics ( email )
414 Uris Hall
Ithaca, NY 14853-7601
United States
607-255-6283 (Phone)
607-255-2818 (Fax)
Marcos Lopez de Prado
Guggenheim Partners, LLC ( email )
330 Madison Avenue
New York, NY 10017
United States
HOME PAGE: http://www.QuantResearch.info
Lawrence Berkeley National Laboratory ( email )
One Cyclotron Road
Berkeley, CA 94720
United States
HOME PAGE: http://www.lbl.gov
Harvard University - RCC ( email )
26 Trowbridge Street
Cambridge, MA 02138
United States
HOME PAGE: http://www.rcc.harvard.edu
Maureen O'Hara
Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )
Ithaca, NY 14853
United States
607-255-3645 (Phone)
607-255-5993 (Fax)
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