This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery related to the Hasbrouck (1995) information shares. We apply the model to two sets of Nasdaq dealer quotes
This paper analyzes the interday stability of the price process using transaction data. While the va...
In financial markets, economic relations can change abruptly as the result of rapid market reactions...
In this article we introduce a decomposition of the joint distribution of price changes of assets re...
This paper proposes a structural time-series model for the intraday price dynamics on fragmented fin...
Abstract: This paper proposes a structural time series model for the intra-day price dynamics on fra...
textabstractFor many assets, trading is fragmented across multiple exchanges. Price discovery measur...
textabstractWe explore intraday variation in the contribution to price discovery across different ex...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
This paper develops a tick time model for the quote setting dynamics on nasdaq. The model decomposes...
This paper develops a structural model of intraday price formation that embodies both information sh...
A structural dynamic model of price and quantity adjustment is estimated on time series data for exp...
This dissertation addresses the fundamental question of what factors drive equity prices and investi...
[[abstract]]This paper investigates the price discovery function in three S&P 500 index markets: the...
In this paper we introduce a decomposition of the joint distribution of price changes of assets reco...
This paper analyzes the interday stability of the price process using transaction data. While the va...
This paper analyzes the interday stability of the price process using transaction data. While the va...
In financial markets, economic relations can change abruptly as the result of rapid market reactions...
In this article we introduce a decomposition of the joint distribution of price changes of assets re...
This paper proposes a structural time-series model for the intraday price dynamics on fragmented fin...
Abstract: This paper proposes a structural time series model for the intra-day price dynamics on fra...
textabstractFor many assets, trading is fragmented across multiple exchanges. Price discovery measur...
textabstractWe explore intraday variation in the contribution to price discovery across different ex...
This article examines temporal aspects of the price discover process in the (fragmented) Standard & ...
This paper develops a tick time model for the quote setting dynamics on nasdaq. The model decomposes...
This paper develops a structural model of intraday price formation that embodies both information sh...
A structural dynamic model of price and quantity adjustment is estimated on time series data for exp...
This dissertation addresses the fundamental question of what factors drive equity prices and investi...
[[abstract]]This paper investigates the price discovery function in three S&P 500 index markets: the...
In this paper we introduce a decomposition of the joint distribution of price changes of assets reco...
This paper analyzes the interday stability of the price process using transaction data. While the va...
This paper analyzes the interday stability of the price process using transaction data. While the va...
In financial markets, economic relations can change abruptly as the result of rapid market reactions...
In this article we introduce a decomposition of the joint distribution of price changes of assets re...
DOI
Add to ORKG