Intraday Price Formation in U.S. Equity Index Markets

By Joel Hasbrouck. 2003

126 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/ffa042f78a036d415b82a4233a3f8f244be94ca4

Citations in the corpus

• What Do Price Discovery Metrics Really Measure (2013, unknown): “Hasbrouck (1995) proposes that the contribution of a price series to price discovery (the ‘information share’, IS) can be measured by the proportion of the variance in the common efficient price innovations that is explained by innovations in that price series.”
• Is There Price Discovery in Equity Options (2013, unknown): “See also Hasbrouck (2002, 2003).”