Price discovery share: An order invariant measure of price discovery
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DOI: 10.1016/j.frl.2024.105734
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More about this item
Keywords
Price discovery; Information share; Order-dependence;All these keywords.
JEL classification:
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
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