Bulk Classification of Trading Activity

Easley, David; Prado, Marcos López de; O’Hara, Maureen

doi:10.2139/ssrn.1989555

Cited by 35 publications

(12 citation statements)

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“…This limit order book data contains accurate classification of each trade as buyer-or seller-initiated. Based on the classification accuracy measure proposed by Easley, Lopez de Prado, and O'Hara (2012), the tick rule correctly classifies 95% and 91% of trading volume in the E-mini S&P 500 and the 10-year Treasury note futures, respectively. We also find that the tick rule performs better than the bulk volume classification method of Easley et al (2012).…”

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confidence: 99%

“…Based on the classification accuracy measure proposed by Easley, Lopez de Prado, and O'Hara (2012), the tick rule correctly classifies 95% and 91% of trading volume in the E-mini S&P 500 and the 10-year Treasury note futures, respectively. We also find that the tick rule performs better than the bulk volume classification method of Easley et al (2012). 18 We verify in Section 4.5.5 that the price impact of the order flow does not vary between announcement and non-announcement days.…”

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Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

et al. 2015

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Terms of use: Documents in AbstractWe examine stock index and Treasury futures markets around releases of U.S. macroeconomic announcements. Seven out of 21 market-moving announcements show evidence of substantial informed trading before the official release time. Prices begin to move in the "correct" direction about 30 minutes before the release time. The pre-announcement price drift accounts on average for about half of the total price adjustment. These results imply that some traders have private information about macroeconomic fundamentals. The evidence suggests that the preannouncement drift likely comes from a combination of information leakage and superior forecasting based on proprietary data collection and reprocessing of public information.Keywords: Macroeconomic news announcements; financial markets; pre-announcement effect; drift; informed trading JEL classification: E44; G14; G15 ECB Working Paper 1901, May 2016 1 Non-technical SummaryMacroeconomic indicators play an important role in business cycle forecasting and are closely watched by financial markets. Some of these indicators appear to influence financial market prices even ahead of their official release time. This paper examines the prevalence of pre-announcement price drift in U.S. stock and bond markets and looks for possible explanations.We study the impact of announcements on second-by-second E-mini S&P 500 stock The difficulty of identifying the causes of pre-announcement drift stems from the relatively small number of announcements that actually move financial markets. Nevertheless, we find that an implementation of strict release procedures makes pre-release drift less likely. This applies in particular to data released under the Principal Federal Economic Indicator (PFEI) guidelines, which impose strict security procedures. There is no evidence that modifying the calculation of market expectations, e.g., a focus on the most recent survey responses, helps in predicting the commonly used announcement surprise.Public information, such as internet activity data, predicts the surprise in a few cases where the public information closely corresponds to the forecasting target. Analogously, improvements in data processing render privately collecting large amounts of comparable information feasible, which can be used for generating proprietary forecasts ahead of time.This early information -leaked or self-calculated -does not need to be precise in order to a have a large price impact. Un...

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Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

et al. 2015

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“…One of the most-important questions is whether one can actually link "buy" and "sell" trades with upcoming information (Easley et al, 2012a(Easley et al, , 2012b(Easley et al, , 2013. In their opinion, the active side of the trade is oriented more to the spread than the actual content of the released information.…”

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confidence: 99%

The logarithmic ACD model: The microstructure of the German and Polish stock markets

Gurgul

Syrek

2016

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“…Until August 4, 2016 index futures contract modified trade restrictions in the futures market turnover fell 99% after the September 2015, so international capital began to consider ease of index futures trading are growing about the limit. Easley et al (2012a) through the investigation and study of the U.S. stock flash crash, the analysis shows that VPIN can predict short-term toxic induced fluctuations, especially when it involves large price fluctuations. Easley et al (2012b) the empirical results show that this method has strong applicability to different markets.…”

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confidence: 99%

VPIN and the China’s Circuit-Breaker

Zheng¹

2017

IJEF

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The market microstructure theory and high-frequency trading analyze as quantitative investment"s frontier and hot issue is popular in China in recent years, but China"s stock index futures introduced later, so there are not much academic attention. This paper measures the probability of informed trading in China"s stock index futures market by VPIN method. The empirical results show that the VPIN can not only monitor the probability of the informed trading market of IF 300, IH 50 and IC 500, but also play an early warning role before the "circuit-breaker". Tracking VPIN values allows the liquidity providers to control their position risk, and regulators can monitor the liquidity quality of the market, limit transactions in advance or tighten market controls.

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Bulk Classification of Trading Activity

Cited by 35 publications

References 32 publications

Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

Price Drift Before U.S. Macroeconomic News: Private Information About Public Announcements?

The logarithmic ACD model: The microstructure of the German and Polish stock markets

VPIN and the China’s Circuit-Breaker

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