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Time Weighted Price Contribution

Jahanshahloo, Hossein and Spokeviciute, Laima 2021. Time Weighted Price Contribution. Finance Research Letters , 101947. 10.1016/j.frl.2021.101947
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Abstract

In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control for the time element in the Modified Weighted Price Contribution (MWPC) model by Jahanshahloo and Spokeviciute (2018). We empirically show that our new modification controls for reaction time (Speed) of market participants to arrival of new information.

Item Type: Article
Date Type: Published Online
Status: In Press
Schools: Business (Including Economics)
Publisher: Elsevier
ISSN: 1544-6123
Date of First Compliant Deposit: 29 January 2021
Date of Acceptance: 24 January 2020
Last Modified: 03 Feb 2021 12:39
URI: http://orca.cardiff.ac.uk/id/eprint/138103

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