A Structural Analysis of Price Discovery Measures

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Bitcoin Futures—What use are they? (2018, background): “An early analysis of Bitcoin by Yermack [2015] concluded that it was not a currency but rather a speculative asset.”
What Do Price Discovery Metrics Really Measure (2013, methodology): “Furthermore, the need to convert prices of different contracts or asset classes so that they would be comparable also creates noise that differs across the price series.”
Dark Trading and Price Discovery (2015, background): “As pointed out by Yan and Zivot (2010) and Putniņš (2013), both metrics measure (with different weights) a combination of two dimensions of market efficiency: (i) timeliness in impounding of new information; and (ii) avoidance of transitory shocks.”