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Improved trade classification rules: estimates using a logit model based on misclassified data

Because greatest in quantity high-frequency data sets do not provide information upon trade direction, researchers have unraveled the tick, quote, and the LR dominations to classify trades as either a "buy" or a "sell" novel research has begun to focus upon how accurately these rules predict trade direction, specifically addressing the potential for biases in empirical work based upon ...


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