Online Addendum: Modeling Trade Direction

10 Pages Posted: 18 Oct 2011  

Dale W. R. Rosenthal

University of Illinois at Chicago - Department of Finance

Date Written: October 18, 2011

Abstract

This is the online addendum for Modeling Trade Direction. It contains information on delays between trades and quotes, further analysis commentary, a discussion of varying coefficients, some evidence on short- and ultra-short-term price predictability, and an explanation of how large trades may (seemingly) be recorded as trading far outside the contemporaneous bid-ask spread.

Suggested Citation

Rosenthal, Dale W. R., Online Addendum: Modeling Trade Direction (October 18, 2011). Available at SSRN: https://ssrn.com/abstract=1945577 or http://dx.doi.org/10.2139/ssrn.1945577

Dale W. R. Rosenthal (Contact Author)

University of Illinois at Chicago - Department of Finance ( email )

2431 University Hall (UH)
601 S. Morgan Street
Chicago, IL 60607-7124
United States

HOME PAGE: http://tigger.uic.edu/~daler

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