The role of time in price discovery
In this paper we investigate the price effects of trading intensity. Extending on the Madhavan et al. (1997) model, we split the intensity effect into liquidity and information effects. We provide a measure of market quality that is the ratio of the covariance bias to the variance bias. Analyzing ab...
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| Format: | conferenceObject |
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2017
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| Online Access: | http://hdl.handle.net/10725/5660 http://libraries.lau.edu.lb/research/laur/terms-of-use/articles.php https://www.researchgate.net/publication/265309322_The_Role_of_Time_in_Price_Discovery_Ultra-high_frequency_trading_in_a_Limit_Order_Book_Market |
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