Mechanical vs. informational components of price impact
نویسندگان
چکیده
منابع مشابه
Basket Securities, Price Formation, and Informational Efficiency
This paper investigates the role of basket securities in the efficient price formation process of individual component securities. The study focuses on one type of basket security, exchange traded funds (ETFs), which includes some of the most actively traded securities in the U.S. equity market. A multi-asset variance decomposition methodology is developed to measure the information contributio...
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ژورنال
عنوان ژورنال: The European Physical Journal B
سال: 2006
ISSN: 1434-6028,1434-6036
DOI: 10.1140/epjb/e2006-00384-5