Time weighted price contribution
نویسندگان
چکیده
In the era of high frequency trading and pervasiveness irregularly spaced trading, we control for time element in Modified Weighted Price Contribution (MWPC) model by Jahanshahloo Spokeviciute (2018). We empirically show that our new modification controls reaction (Speed) market participants to arrival information.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2021.101947