A modification to the WPC model

Hossein Jahanshahloo and Laima Spokeviciute

Economics Letters, 2018, vol. 171, issue C, 76-78

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.

Keywords: Weighted price contribution; Price discovery; High frequency trading (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2018
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165176518302738
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:171:y:2018:i:c:p:76-78

DOI: 10.1016/j.econlet.2018.07.019

Access Statistics for this article

Economics Letters is currently edited by Economics Letters Editorial Office

More articles in Economics Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().