Price Discovery in Fragmented Markets
Frank De Jong
Tilburg University - Department of Finance
Peter C. Schotman
Journal of Financial Econometrics, Vol. 8, Issue 1, pp. 1-28, 2010
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 modelsAccepted Paper Series
Date posted: December 28, 2009
© 2013 Social Science Electronic Publishing, Inc. All Rights Reserved.
This page was processed by apollo6 in 1.797 seconds