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Time weighted price contribution

Author

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  • Jahanshahloo, Hossein
  • Spokeviciute, Laima

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.

Suggested Citation

  • Jahanshahloo, Hossein & Spokeviciute, Laima, 2021. "Time weighted price contribution," Finance Research Letters, Elsevier, vol. 43(C).
    • Handle: RePEc:eee:finlet:v:43:y:2021:i:c:s1544612321000283
    DOI: 10.1016/j.frl.2021.101947
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    References listed on IDEAS

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    1. Engle, Robert F. & Patton, Andrew J., 2004. "Impacts of trades in an error-correction model of quote prices," Journal of Financial Markets, Elsevier, vol. 7(1), pages 1-25, January.
    2. de Jong, Frank & Nijman, Theo, 1997. "High frequency analysis of lead-lag relationships between financial markets," Journal of Empirical Finance, Elsevier, vol. 4(2-3), pages 259-277, June.
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Market Microstructure; Price Discovery; High Frequency Trading; Irregularly Spaced Data;
    All these keywords.

    JEL classification:

    • G1 - Financial Economics - - General Financial Markets

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