Add to ORKGThis paper investigates the price discovery process in financial markets, with a focus on government securities markets, by comparing patterns in trading volume, price volatility, and bid-ask spread in th
Price discovery refers to flows of information, describing how and when information is reflected in ...
This paper explores the intraday price discovery process among three futures in the Nikkei 225 futur...
Copyright @ 2011 Brunel UniversityThis paper proposes new metrics for the process of price discovery...
This paper makes three contributions to our understanding of the price discovery process in currency...
In this paper we analyse and show how price discovery process influence the volatility of stocks. Us...
This paper proposes new metrics for the process of price discovery on the main electronic trading pl...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
In this paper, we extend the information share measures proposed by Hasbrouck (1995) and Lien and Sh...
This paper investigates the intraday price discovery process among three futures based on the Nikkei...
The way in which securities are traded is very different from the idealized picture of a frictionles...
The price discovery process is often referred to as a “black box. ” This study sheds light in the b...
The study considers the role of the derivative markets in the price discovery process around the rel...
[[abstract]]This paper investigates the price discovery function in three S&P 500 index markets: the...
Thesis (Ph.D.)--University of Washington, 2015Price Discovery is the process by which new informatio...
We study the price discovery in price disagreement between the China ETF 50 index and option markets...
Price discovery refers to flows of information, describing how and when information is reflected in ...
This paper explores the intraday price discovery process among three futures in the Nikkei 225 futur...
Copyright @ 2011 Brunel UniversityThis paper proposes new metrics for the process of price discovery...
This paper makes three contributions to our understanding of the price discovery process in currency...
In this paper we analyse and show how price discovery process influence the volatility of stocks. Us...
This paper proposes new metrics for the process of price discovery on the main electronic trading pl...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
In this paper, we extend the information share measures proposed by Hasbrouck (1995) and Lien and Sh...
This paper investigates the intraday price discovery process among three futures based on the Nikkei...
The way in which securities are traded is very different from the idealized picture of a frictionles...
The price discovery process is often referred to as a “black box. ” This study sheds light in the b...
The study considers the role of the derivative markets in the price discovery process around the rel...
[[abstract]]This paper investigates the price discovery function in three S&P 500 index markets: the...
Thesis (Ph.D.)--University of Washington, 2015Price Discovery is the process by which new informatio...
We study the price discovery in price disagreement between the China ETF 50 index and option markets...
Price discovery refers to flows of information, describing how and when information is reflected in ...
This paper explores the intraday price discovery process among three futures in the Nikkei 225 futur...
Copyright @ 2011 Brunel UniversityThis paper proposes new metrics for the process of price discovery...