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Journal of Empirical Finance
Article . 2009 . Peer-reviewed
License: Elsevier TDM
Data sources: Crossref
SSRN Electronic Journal
Article . 2004 . Peer-reviewed
Data sources: Crossref
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Price Discovery in Tick Time

Authors: Frijns, Bart; Schotman, Peter C;

Price Discovery in Tick Time

Abstract

This paper develops a tick time model for the quote setting dynamics on nasdaq. The model decomposes quotes into an efficient price, asymmetric information and noise. Both the evolution of the efficient price and the information contents of quotes depend on quote durations. New measures for the contribution to price discovery are defined within this model. When aggregated to fixed calendar time intervals, they relate closely to hasbrouck [hasbrouck, joel, 1995, one security, many markets: determining the contribution to price discovery, journal of finance 50, 1175–1199] information shares. Empirical results for 20 nasdaq stocks indicate that ecns, in particular island, contribute most to price discovery for active stocks. For less active stocks, wholesale market makers contribute most.

Country
Netherlands
Keywords

microstructure; nasdaq; price discovery; tick time models; ultra-high frequency data, jel: jel:G15, jel: jel:C32

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    popularity
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    influence
    This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
17
Average
Top 10%
Average
bronze