New measure of price discovery  [01.09.23]

Karsten Schweikert and Thomas Dimpfl present in their recent article their new measure of price discovery for markets that do not trade in parallel

[Translate to English:] Illustration of partially overlapping trading periods between S&P 500 cash and E-mini futures markets.

So far, measuring the contributions to price discovery was limited to either parallel trading markets or sequential markets. Thomas Dimpfl and Karsten Schweikert relax this restriction and present a price discovery measure that allows the assessment of the contribution of markets with only partially overlapping trading hours. 

 

 

 


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