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Bruce
Posts:2
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| 06/15/2006 9:38 AM |
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The timing issuse in match TAQ trades and
quotes has been much discussed in the literature.
The latest recommendations, I believe, is
"to take the prevailing quote 2 seconds
before the trade as the prevailing quote
at the time of the trade"
from:
"How to Match Trades and Quotes for NYSE
Stocks" by Olivier Vergote, March 2005.
Anybody out there know of more recent results?
Bruce Erlichman |
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Brian
Posts:56
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Brian
Posts:56
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Bjorn (guest)
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| 09/12/2008 9:07 AM |
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This one recommends taking the quote at least 1 second before the trade for TAQ data.
"On the importance of timing specifications in market microstructure research"
Henker & Wang: Journal of Financial Markets 9 (2006) 162-179
Bjorn |
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