Intraday Price Discovery in Fragmented Markets
Year of publication: |
2014-02-27
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Authors: | Ozturk, Sait ; Wel, Michel van der |
Institutions: | Tinbergen Instituut |
Subject: | High-frequency data | Market microstructure | Price Discovery | Kalman filter |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | The text is part of a series Tinbergen Institute Discussion Papers Number 14-027/III |
Classification: | C32 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies |
Source: |
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Intraday price discovery in fragmented markets
Ozturk, Sait, (2014)
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Intraday Price Discovery in Fragmented Markets
Ozturk, Sait, (2014)
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Tail Wags Dog? Time-Varying Information Shares in the Bund Market
Upper, Christian, (2002)
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Intraday price discovery in fragmented markets
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Are Market Makers Uninformed and Passive? Signing Trades in The Absence of Quotes
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On the Effects of Private Information on Volatility
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