A modification to the WPC model

H. Jahanshahloo; L. Spokeviciute

doi:10.1016/j.econlet.2018.07.019

A modification to the WPC model

H. Jahanshahloo^*, L. Spokeviciute^*

^*Corresponding author for this work

Management Sciences

Research output: Contribution to journal › Article › peer-review

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.

Original language	English
Pages (from-to)	76-78
Number of pages	3
Journal	Economics Letters
Volume	171
Early online date	19 Jul 2018
DOIs	https://doi.org/10.1016/j.econlet.2018.07.019
Publication status	Published - Oct 2018

Keywords

weighted price contribution
price discovery
high frequency trading

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10.1016/j.econlet.2018.07.019

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title = "A modification to the WPC model",

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

keywords = "weighted price contribution, price discovery, high frequency trading",

author = "H. Jahanshahloo and L. Spokeviciute",

year = "2018",

month = oct,

doi = "10.1016/j.econlet.2018.07.019",

language = "English",

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journal = "Economics Letters",

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KW - high frequency trading

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DO - 10.1016/j.econlet.2018.07.019

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VL - 171

SP - 76

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JO - Economics Letters

JF - Economics Letters

ER -

A modification to the WPC model

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Keywords

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