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Time weighted price contribution

Jahanshahloo, Hossein ORCID: https://orcid.org/0000-0003-0786-2415 and Spokeviciute, Laima ORCID: https://orcid.org/0000-0002-6563-5790 2021. Time weighted price contribution. Finance Research Letters 43 , 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: Publication
Status: Published
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: 10 Nov 2022 18:33
URI: https://orca.cardiff.ac.uk/id/eprint/138103

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