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
We modify the Barclay and Warner (1993) Weighted Price Contribution model – which measures market participants’ contribution to price discovery process – to incorporate price movements that extend beyond the final price. We validate our model with an empirical illustration.
Metadata
Item Type: | Article |
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Authors/Creators: |
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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: |
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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: | 10.1016/j.econlet.2018.07.019 |
Open Archives Initiative ID (OAI ID): | oai:eprints.whiterose.ac.uk:133317 |