A model of price discovery and market design : theory and empirical evidence
| Data(s) |
01/12/2004
|
|---|---|
| Resumo |
An essential function of derivative markets is price discovery. A model is proposed to incorporate a comprehensive dynamic interaction between price size coordinates of orders and trades. An example of application of the model and its effect on price discovery is discussed.<br /><br /><br /> |
| Identificador | |
| Idioma(s) |
eng |
| Publicador |
John Wiley & Sons |
| Relação |
http://dx.doi.org/10.1002/fut.20132 |
| Direitos |
2004, Wiley Periodicals |
| Tipo |
Journal Article |
