Inferring Trade Direction from Intraday Data
评估了利用日内交易和报价数据将单笔交易分类为买方或卖方订单的不同方法，指出了报价分类法的两个潜在问题，并提出了改进分类的简单程序。
ABSTRACT This paper evaluates alternative methods for classifying individual trades as market buy or market sell orders using intraday trade and quote data. We document two potential problems with quote‐based methods of trade classification: quotes may be recorded ahead of trades that triggered them, and trades inside the spread are not readily classifiable. These problems are analyzed in the context of the interaction between exchange floor agents. We then propose and test relatively simple procedures for improving trade classifications.