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Quantitative Finance · Glossário

O que é Bulk volume classification?

Definition 9.2 Research Craft: Predictors, Backtests, Measurement, Portfolios · Capítulo 9 — Trade-Flow Features

Bulk volume classification (BVC) splits a bar’s volume into buys and sells without signing individual trades: the buy share is Φ(ΔP/σΔP)\Phi(\Delta P/\sigma_{\Delta P}), with ΔP\Delta P the bar’s price change and σΔP\sigma_{\Delta P} its standard deviation across bars.

Share of the simulated tape’s executions signed correctly by each rule (by volume for BVC), against the simulator’s true signs. Stale quotes cost the quote rule 3.7 points at one second; BVC on one-minute bars gets 80% of the volume right. Data: firm.tape, seed 9.
Figure 9.2. Share of the simulated tape’s executions signed correctly by each rule (by volume for BVC), against the simulator’s true signs. Stale quotes cost the quote rule 3.7 points at one second; BVC on one-minute bars gets 80% of the volume right. Data: firm.tape, seed 9.
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