Measures of Contributions to Price Discovery: A Comparison

This note clarifies the relation between two competing definitions of the contribution to price discovery in market microstructure models: (i) the information share and (ii) the common factor component weight. It is demonstrated that the two measures are closely related, but that only the information share takes into account the variability of the innovations in each market's price.<BR><BR

MoreLess

Year of publication:	2001-11-22
Authors:	Jong, Frank de
Institutions:	Tinbergen Institute
Subject:	Price discovery \| Cointegration \| Permanent-Transitory decomposition

More details

Extent:	application/pdf
Series:	Tinbergen Institute Discussion Papers.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Tinbergen Institute Discussion Papers Number 01-114/2
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005282007