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A modification to the WPC model

Jahanshahloo, Hossein ORCID: https://orcid.org/0000-0003-0786-2415 and Spokeviciute, Laima ORCID: https://orcid.org/0000-0002-6563-5790 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: 24 Oct 2022 08:44
URI: https://orca.cardiff.ac.uk/id/eprint/118565

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