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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.


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
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
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