Time weighted price contribution

Hossein Jahanshahloo and Laima Spokeviciute

Finance Research Letters, 2021, vol. 43, issue C

Abstract: In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control for the time element in the Modified Weighted Price Contribution (MWPC) model by Jahanshahloo and Spokeviciute (2018). We empirically show that our new modification controls for reaction time (Speed) of market participants to arrival of new information.

Keywords: Market Microstructure; Price Discovery; High Frequency Trading; Irregularly Spaced Data (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000283

DOI: 10.1016/j.frl.2021.101947

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