A Trade Classification Algorithm from Market Quotes
This function computes the number of intradaily market trades that are buy- or sell-initiated.
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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 (2026). 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 .
General Information
- Version 1.0.0.0 (87.8 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
| Version | Published | Release Notes | Action |
|---|---|---|---|
| 1.0.0.0 |
