Price Discovery in Fragmented Markets
Posted: 28 Dec 2009
There are 2 versions of this paper
Date Written: Winter 2010
Abstract
This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck () 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 () information shares. We apply the model to two sets of Nasdaq dealer quotes.
Keywords: C32, F31, High-frequency data, microstructure, structural time-series models
Suggested Citation: Suggested Citation
De Jong, Frank and Schotman, Peter C., Price Discovery in Fragmented Markets (Winter 2010). Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 1-28, 2010, Available at SSRN: https://ssrn.com/abstract=1528358 or http://dx.doi.org/nbp015
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