Article ID Journal Published Year Pages File Type
5089101 Journal of Banking & Finance 2013 14 Pages PDF
Abstract
► We propose new metrics to assess the process of price discovery. ► We find that traditional measures underestimate the contribution of the polar market. ► A market's contribution to price discovery turns out to be affected by trading activity.
Keywords
Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
Preview
Price discovery and trade fragmentation in a multi-market environment: Evidence from the MTS system
Authors
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