Discussion paper

DP3987 Price Discovery in Fragmented Markets

This Paper proposes a structural time series model for the intra-day price dynamics of fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.

£6.00
Citation

de Jong, F and P Schotman (2003), ‘DP3987 Price Discovery in Fragmented Markets‘, CEPR Discussion Paper No. 3987. CEPR Press, Paris & London. https://cepr.org/publications/dp3987