Price Discovery in Fragmented Markets
نویسندگان
چکیده
This paper proposes a structural time series model for the intra-day price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multi-variate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery. We illustrate the model by an empirical example using Nasdaq dealer quotes.
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