Measuring price discovery: The variance ratio, the R2, and the weighted price contribution

Finance Research Letters

Volumn 8, Issue 3, 2011, Pages 112-119

  van Bommel, Jos ^a  

^a UNIVERSITY OF LUXEMBOURG   (Luxembourg)

Author keywords

Market microstructure; Price discovery; Weighted price contribution

Indexed keywords

EID: 80052424398     PISSN: 15446123     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.frl.2011.05.003     Document Type: Article

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