Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market
This study aimed to compare the performance of Tick Rule (TR) and Bulk Volume Classification (BVC) models in classifying assets traded on the Brazilian stock exchange (B3) and indicate which one performs better as an investment decision tool. The assets were split into three groups based on their vo...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
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FUCAPE Business School
2023-01-01
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| Series: | BBR: Brazilian Business Review |
| Subjects: | |
| Online Access: | http://www.redalyc.org/articulo.oa?id=123075331006 |
| _version_ | 1797250523112407040 |
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| author | Leonardo Souza Siqueira Laíse Ferraz Correia Hudson Fernandes Amaral |
| author_facet | Leonardo Souza Siqueira Laíse Ferraz Correia Hudson Fernandes Amaral |
| author_sort | Leonardo Souza Siqueira |
| collection | DOAJ |
| description | This study aimed to compare the performance of Tick Rule (TR) and Bulk Volume Classification (BVC) models in classifying assets traded on the Brazilian stock exchange (B3) and indicate which one performs better as an investment decision tool. The assets were split into three groups based on their volume, and actual data was used to assess the accuracy of both algorithms. Data from 2018 was used to estimate the parameters that best fit BVC, and transactions from 2019 were used to test the algorithm’s efficiency. Afterward, the Volume-Synchronized Probability of Informed Trading (VPIN) was calculated for each asset using TR and BVC, and the values obtained were compared against VPIN calculated using real data. In conclusion, the TR algorithm shows betters performance than BVC for all three groups of assets. Analysis of the properties of both methods reveals that the base upon which the TR is built holds up in the Brazilian market, whereas BVC mechanics does not reflect the observed reality. |
| first_indexed | 2024-03-07T20:26:46Z |
| format | Article |
| id | doaj.art-d874013cd980412a9cd1d8b41f6de0ad |
| institution | Directory Open Access Journal |
| issn | 1807-734X |
| language | English |
| last_indexed | 2024-04-24T20:47:44Z |
| publishDate | 2023-01-01 |
| publisher | FUCAPE Business School |
| record_format | Article |
| series | BBR: Brazilian Business Review |
| spelling | doaj.art-d874013cd980412a9cd1d8b41f6de0ad2024-03-21T19:30:20ZengFUCAPE Business SchoolBBR: Brazilian Business Review1807-734X2023-01-0120199116http://dx.doi.org/10.15728/bbr.2023.20.1.6.enAnalysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock marketLeonardo Souza SiqueiraLaíse Ferraz CorreiaHudson Fernandes AmaralThis study aimed to compare the performance of Tick Rule (TR) and Bulk Volume Classification (BVC) models in classifying assets traded on the Brazilian stock exchange (B3) and indicate which one performs better as an investment decision tool. The assets were split into three groups based on their volume, and actual data was used to assess the accuracy of both algorithms. Data from 2018 was used to estimate the parameters that best fit BVC, and transactions from 2019 were used to test the algorithm’s efficiency. Afterward, the Volume-Synchronized Probability of Informed Trading (VPIN) was calculated for each asset using TR and BVC, and the values obtained were compared against VPIN calculated using real data. In conclusion, the TR algorithm shows betters performance than BVC for all three groups of assets. Analysis of the properties of both methods reveals that the base upon which the TR is built holds up in the Brazilian market, whereas BVC mechanics does not reflect the observed reality.http://www.redalyc.org/articulo.oa?id=123075331006tick rulebulk volume classificationvpinmarket microstructure |
| spellingShingle | Leonardo Souza Siqueira Laíse Ferraz Correia Hudson Fernandes Amaral Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market BBR: Brazilian Business Review tick rule bulk volume classification vpin market microstructure |
| title | Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market |
| title_full | Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market |
| title_fullStr | Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market |
| title_full_unstemmed | Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market |
| title_short | Analysis of the Tick Rule and Bulk Volume Classification algorithms in the Brazilian stock market |
| title_sort | analysis of the tick rule and bulk volume classification algorithms in the brazilian stock market |
| topic | tick rule bulk volume classification vpin market microstructure |
| url | http://www.redalyc.org/articulo.oa?id=123075331006 |
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