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Trade Classification Algorithms: A Horse Race between the Bulk-Based and the Tick-Based Rules
2012
Social Science Research Network
We thank Marcos López de Prado for answering a number of our questions about the BVC methodology. We are grateful to Maureen O'Hara for insightful comments on our results. We thank Abstract We compare bulk-volume classification (BVC) proposed by Easley, Lopez de Prado, and O'Hara (2012b) to the traditional tick rule (TR) for a sample of equity trades executed on NASDAQ's INET platform. Applying BVC leads to substantial time savings when a researcher uses pre-compressed data like Bloomberg and
doi:10.2139/ssrn.2182819
fatcat:5a77jrvvafgqjpmqtdxlr7bhwu