The price leadership share: a new measure of price discovery in financial markets

DOI10.1007/s10436-020-00371-3zbMath1461.91295OpenAlexW3036818430MaRDI QIDQ2022925

Riccardo De Blasis

Publication date: 3 May 2021

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-020-00371-3

zbMATH Keywords

market fragmentationprice discoverymultivariate Markov chainprice leadershipmixture transition distribution

Mathematics Subject Classification ID

Applications of continuous-time Markov processes on discrete state spaces (60J28) Financial markets (91G15)

Related Items (2)

Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits ⋮ Valuation of R\&D compound option using Markov chain approach

Uses Software

• DFVLR-SQP

Cites Work

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