Menkveld, Albert J.; Koopman, Siem Jan; Lucas, André - Tinbergen Institute - 2003
, strongest price discovery takes place in the NYSE preopening. The model shows results that are significantly different from the … U.S. market and, potentially, in both markets simultaneously. We use a state space model to study 24-hour price … discovery. As opposed to the standard "variance ratio'' approach, this model deals naturally with (i) simultaneous quotes in an …