A Modification to the WPC Model

Jahanshahloo, H orcid.org/0000-0003-0786-2415 and Spokeviciute, L orcid.org/0000-0002-6563-5790 (2018) A Modification to the WPC Model. Economics Letters, 171. pp. 76-78. ISSN 0165-1765

Abstract

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Authors/Creators:
Copyright, Publisher and Additional Information: © 2018 Elsevier B.V. This is an author produced version of a paper published in Economics Letters. Uploaded in accordance with the publisher's self-archiving policy.
Keywords: Weighted price contribution; Price discovery; High frequency trading
Dates:
  • Accepted: 11 July 2018
  • Published (online): 19 July 2018
  • Published: October 2018
Institution: The University of Leeds
Academic Units: The University of Leeds > Faculty of Business (Leeds) > Accounting & Finance Division (LUBS) (Leeds)
Depositing User: Symplectic Publications
Date Deposited: 17 Jul 2018 09:34
Last Modified: 19 Jan 2020 01:38
Status: Published
Publisher: Elsevier
Identification Number: https://doi.org/10.1016/j.econlet.2018.07.019

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