A Trade Classification Algorithm from Market Quotes

Version 1.0.0.0 (87.8 KB) by Paolo Zagaglia
This function computes the number of intradaily market trades that are buy- or sell-initiated.
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Updated 28 Dec 2011

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This routine uses bid and ask quotes sample intradaily at a uniform frequency to classify the implied origin of market trading activity. It computes the implied number of sell-initiated, buy-initiated trades, and trades with no discernible sign (denoted as 'no trades'). The classification algorithm used here follows Lee and Ready (1996).

A pdf file with an outline of the trade classification algorithm is also included.

Reference:

Lee, C. M. C., and M. J. Ready (1991), "Inferring Trade Direction from Intraday Data", Journal of Finance, 46 (2), 733-746.

Cite As

Paolo Zagaglia (2024). A Trade Classification Algorithm from Market Quotes (https://www.mathworks.com/matlabcentral/fileexchange/34376-a-trade-classification-algorithm-from-market-quotes), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2010b
Compatible with any release
Platform Compatibility
Windows macOS Linux

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Version Published Release Notes
1.0.0.0