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A modification to the WPC model

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

Item Type: Article
Date Type: Publication
Status: Published
Schools: Business (Including Economics)
Publisher: Elsevier
ISSN: 0165-1765
Date of First Compliant Deposit: 18 February 2019
Date of Acceptance: 11 July 2018
Last Modified: 17 Jul 2019 16:25
URI: http://orca.cf.ac.uk/id/eprint/118565

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