A model of price discovery and market design : theory and empirical evidence
Chng, Michael T. 2004, A model of price discovery and market design : theory and empirical evidence, Journal of futures markets, vol. 24, no. 12, pp. 1107-1146, doi: 10.1002/fut.20132.
Attached Files
Name
Description
MIMEType
Size
Downloads
Title
A model of price discovery and market design : theory and empirical evidence
An essential function of derivative markets is price discovery. A model is proposed to incorporate a comprehensive dynamic interaction between price size coordinates of orders and trades. An example of application of the model and its effect on price discovery is discussed.
Every reasonable effort has been made to ensure that permission has been obtained for items included in DRO. If you believe that your rights have been infringed by this repository, please contact drosupport@deakin.edu.au.