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A model of price discovery and market design : theory and empirical evidence

journal contribution
posted on 2004-12-01, 00:00 authored by M Chng
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.


History

Journal

Journal of futures markets

Volume

24

Issue

12

Pagination

1107 - 1146

Publisher

John Wiley & Sons

Location

Hoboken, N.J.

Publisher DOI

ISSN

0270-7314

eISSN

1096-9934

Language

eng

Publication classification

C1.1 Refereed article in a scholarly journal

Copyright notice

2004, Wiley Periodicals

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