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 Author(s) Chng, Michael T. Journal name Journal of futures markets Volume number 24 Issue number 12 Start page 1107 End page 1146 Publisher John Wiley & Sons Place of publication Hoboken, N.J. Publication date 2004-12 ISSN 0270-7314 1096-9934 Summary 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. Language eng DOI 10.1002/fut.20132 Field of Research 140299 Applied Economics not elsewhere classified HERDC Research category C1.1 Refereed article in a scholarly journal Copyright notice ©2004, Wiley Periodicals Persistent URL http://hdl.handle.net/10536/DRO/DU:30021893 Document type: Journal Article Collection: School of Accounting, Economics and Finance Related Links Link Description Connect to published version (restricted access) Go to link with your DU access privileges     Unless expressly stated otherwise, the copyright for items in DRO is owned by the author, with all rights reserved. Versions Version Filter Type Mon, 18 Jan 2010, 11:01:26 EST Wed, 03 Feb 2010, 11:12:58 EST Wed, 03 Feb 2010, 11:15:42 EST Wed, 17 Nov 2010, 09:03:45 EST Filtered Full Citation counts:   Cited 7 times in TR Web of Science Cited 4 times in Scopus Search Google Scholar Access Statistics: 448 Abstract Views, 0 File Downloads  -  Detailed Statistics Created: Mon, 18 Jan 2010, 11:01:26 EST

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