The Accuracy of Trade Classification Rules: Evidence from Nasdaq
利用纳斯达克专有数据，检验了报价规则、报价变动规则和Lee-Ready规则等交易分类算法的准确性，发现它们对内部报价交易分类效果有限，并提出了一种改进的新算法。
Researchers are increasingly using data from the Nasdaq market to examine pricing be? havior, market design, and other microstructure phenomena. The validity of any study that classifies trades as buys or sells depends on the accuracy of the classification method. Us? ing a Nasdaq proprietary data set that identifies trade direction, we examine the validity of several trade classification algorithms. We find that the quote rule, the tick rule, and the Lee and Ready (1991) rule correctly classify 76.4%, 77.66%, and 81.05% ofthe trades, re? spectively. However, all classification rules have only a very limited success in classifying trades executed inside the quotes, introducing a bias in the accuracy of classifying large trades, trades during high volume periods, and ECN trades. We also find that extant algo? rithms do a mediocre job when used for calculating effective spreads. For Nasdaq trades, we propose a new and simple classification algorithm that improves over extant algorithms.