Evaluating trade classification algorithms: bulk volume classification versus the tick rule and the Lee-Ready algorithm. Journal of Financial Markets 25, 52-79.Chakrabarty, B., Pascual, R., & Shkilko, A. (2014).
本文主要讨论了,在order level data不可得的情况下,用TAQ数据库里的trade level data和quote level data(各交易所最优报价数据)来推断liquidity taker(交易发起者)的交易方向。所提出的Lee and Ready algorithm具体有三阶段: Firstly, timing-adjusted quote method (if the trade price is above/at ask,the trad...
Lee and Ready (JF,1991)提供的算法作用是在order level data(订单级别数据)不可得的情况下，用Trade...
如果是说equity,level2 数据的trans是有bsflag的, 对比之后, lee-ready的正确率接近70%, 当然还有很多...
lee-ready algorithmtick datasupply curveWe use techniques developed to analyze the Supply Curve in liquidity models in order to analyze the accuracy of the Lee and Ready algorithm, both for highly liquid and relatively liquid stocks. Through the use of order book data combined with tick data, ...
by Jia Shin Lee - April 29, 2025 Share Tweet Pin Share No Comments Guardian Inspires Malaysians to "OWN YOUR BEAUTIFUL. TAKE CONTROL OF YOUR WELLBEING." with Bold New Brand Vision and Campaign by Jia Shin Lee - November 27, 2024 ...
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If that is the case, I believe we can assume that the probability of hash collisions should be very low, otherwise we might actually need to improve the hashing algorithm. Contributor nocchijiang Nov 12, 2024 Or maybe we can move the "lightweight" checks back into the nested loop below?
“algorithm change.” And let’s face it, brainstorming can take hours, leaving you wishing you could clone yourself to focus on relationships or product development. This mental drain can lead to burnout, low-quality work, and missed opportunities. As one might joke, “If I had a dollar ...
If we can train an algorithm to suggest the next best move in the complex game of Go (we can), we can train an algorithm to adjust the chillers in a data center or the blade angle of a wind turbine, or to dispense the right amount of medicine at the right time. This adaptive...