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Stalking the “efficient price” in market microstructure specifications: an overview · Study

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ArticleStalking the “efficient price” in market microstructure specifications: an overview

Joel Hasbrouck2002

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Articlegreen2002

Stalking the “efficient price” in market microstructure specifications: an overview

241 citations·0/0 files stored·Journal of Financial Markets

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Financial Markets and Investment Strategies Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1985Continuous Auctions and Insider Trading 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market 1981A new approach to decomposition of economic time series into permanent and transitory components with particular attention to measurement of the ‘business cycle’1987Price, trade size, and information in securities markets 1995One Security, Many Markets: Determining the Contributions to Price Discovery 1988Estimating the components of the bid/ask spread 1995Estimation of Common Long-Memory Components in Cointegrated Systems

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2004Internationally cross-listed stock prices during overlapping trading hours: price discovery and exchange rate effects 2012Is there price discovery in equity options?2010News announcements and price discovery in foreign exchange spot and futures markets 2009A new information share measure 2004Price discovery in the hang seng index markets: Index, futures, and the tracker fund

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Year2002

Typearticle

Published2002-07-01

VenueJournal of Financial Markets

ISSN-L1386-4181

Languageen

Citations241

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1016/s1386-4181(02)00029-0

openalex_workW2164736271

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2006Cross-listing, price discovery and the informativeness of the trading process

2004Price Dynamics in the Regular and E-Mini Futures Markets

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