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A modification to the WPC model

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  • Jahanshahloo, Hossein
  • Spokeviciute, Laima

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.

Suggested Citation

  • Jahanshahloo, Hossein & Spokeviciute, Laima, 2018. "A modification to the WPC model," Economics Letters, Elsevier, vol. 171(C), pages 76-78.
    • Handle: RePEc:eee:ecolet:v:171:y:2018:i:c:p:76-78
    DOI: 10.1016/j.econlet.2018.07.019
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    References listed on IDEAS

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    1. Michael J. Barclay, 2003. "Price Discovery and Trading After Hours," Review of Financial Studies, Society for Financial Studies, vol. 16(4), pages 1041-1073.
    2. Barclay, Michael J. & Warner, Jerold B., 1993. "Stealth trading and volatility : Which trades move prices?," Journal of Financial Economics, Elsevier, vol. 34(3), pages 281-305, December.
    3. Maureen O'Hara & Chen Yao & Mao Ye, 2014. "What's Not There: Odd Lots and Market Data," Journal of Finance, American Finance Association, vol. 69(5), pages 2199-2236, October.
    4. Roger D. Huang, 2002. "The Quality of ECN and Nasdaq Market Maker Quotes," Journal of Finance, American Finance Association, vol. 57(3), pages 1285-1319, June.
    5. Alain P. Chaboud & Benjamin Chiquoine & Erik Hjalmarsson & Clara Vega, 2014. "Rise of the Machines: Algorithmic Trading in the Foreign Exchange Market," Journal of Finance, American Finance Association, vol. 69(5), pages 2045-2084, October.
    6. Madureira, Leonardo & Underwood, Shane, 2008. "Information, sell-side research, and market making," Journal of Financial Economics, Elsevier, vol. 90(2), pages 105-126, November.
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    Cited by:

    1. Jahanshahloo, Hossein & Spokeviciute, Laima, 2021. "Time weighted price contribution," Finance Research Letters, Elsevier, vol. 43(C).

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    More about this item

    Keywords

    Weighted price contribution; Price discovery; High frequency trading;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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