Online Addendum: Modeling Trade Direction
10 Pages Posted: 18 Oct 2011
Date Written: October 18, 2011
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.
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