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• W2109471953 abstract "Recent computer quoting activity has increased the allure of the tick test because the quote rule and its variants require matching asynchronous trade and quote records. We find tick test accuracy of 1.2 million forex trades is about 67% which falls to 63% for zerotick trades (half the sample). Accuracy declines as quoted spreads decrease and as time to the previous trade increases. We observe extreme asymmetry for midquote changes, where buyer accuracy is 96% (27%) for up (down) changes, respectively. The quote rule is about 77% accurate. The group tick test is superior to the bulk volume classification method." @default.
• W2109471953 created "2016-06-24" @default.
• W2109471953 creator A5034868518 @default.
• W2109471953 creator A5077997494 @default.
• W2109471953 date "2016-05-01" @default.
• W2109471953 modified "2023-09-26" @default.
• W2109471953 title "Tick test accuracy in foreign exchange ECN markets" @default.
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• W2109471953 doi "https://doi.org/10.1016/j.ribaf.2015.10.001" @default.
• W2109471953 hasPublicationYear "2016" @default.
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