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A modification to the WPC model

A modification to the WPC model
A modification to the WPC model
We modify the Barclay and Warner (1993) Weighted Price Contribution model – which measures market participants’ contribution to price discovery process – to incorporate price movements that extend beyond the final price. We validate our model with an empirical illustration.
Weighted price contribution, Price discovery, High frequency trading
0165-1765
76-78
Jahanshahloo, Hossein
cc608355-1c4f-4f83-9adb-10e983c36610
Spokeviciute, Laima
11a665b7-7266-455d-99c3-e928e9f8fb79
Jahanshahloo, Hossein
cc608355-1c4f-4f83-9adb-10e983c36610
Spokeviciute, Laima
11a665b7-7266-455d-99c3-e928e9f8fb79

Jahanshahloo, Hossein and Spokeviciute, Laima (2018) A modification to the WPC model. Economics Letters, 171, 76-78. (doi:10.1016/j.econlet.2018.07.019).

Record type: Article

Abstract

We modify the Barclay and Warner (1993) Weighted Price Contribution model – which measures market participants’ contribution to price discovery process – to incorporate price movements that extend beyond the final price. We validate our model with an empirical illustration.

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More information

Accepted/In Press date: 11 July 2018
e-pub ahead of print date: 19 July 2018
Published date: October 2018
Keywords: Weighted price contribution, Price discovery, High frequency trading

Identifiers

Local EPrints ID: 434001
URI: http://eprints.soton.ac.uk/id/eprint/434001
DOI: doi:10.1016/j.econlet.2018.07.019
ISSN: 0165-1765
PURE UUID: eea7526a-77d4-4200-9d59-ab3b85ef4d8a
ORCID for Laima Spokeviciute: ORCID iD orcid.org/0000-0002-6563-5790

Catalogue record

Date deposited: 10 Sep 2019 16:30
Last modified: 16 Mar 2024 04:01

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Contributors

Author: Hossein Jahanshahloo
Author: Laima Spokeviciute ORCID iD

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