How to Match Trades and Quotes for NYSE Stocks?
How to Match Trades and Quotes for NYSE Stocks?
复制标题
如何匹配纽交所股票的交易和报价？
DOI：
--
复制
发表时间：
2005
期刊：
影响因子：
--
通讯作者：
Olivier Vergote
中科院分区：
文献类型：
--
作者：
Olivier Vergote
本文提出了一种新的程序来确定相对于从 TAQ 数据库获得的 NYSE 股票数据的交易时间的现行报价时间。该程序测试围绕交易的报价修正频率是否受到交易触发的报价修正的污染，然后确定消除这种污染所需的最小时间调整。对各种股票和样本周期的应用表明，交易和报价报告滞后之间的时间差因股票和时间而异。该程序考虑了这种变化，因此对 Lee 和 Ready (1991) 5 秒规则进行了特定于股票和时间的更新。
This paper proposes a new procedure to determine the time of the prevailing quote relative to the time of the trade for NYSE stock data obtained from the TAQ database. The procedure tests whether the quote revision frequency around a trade is contaminated by quote revisions triggered by a trade, and then determines the smallest timing adjustment needed to eliminate this contamination. An application to various stocks and sample periods shows that the time difference between trade and quote reporting lags varies across stocks and time. The procedure takes this variation into account and hence offers a stock- and time-specific update to the Lee and Ready (1991) 5-second rule.