Abstract
This paper proposes a structural time-series model for the intraday price dynamics on fragmented financial markets. We generalize the structural model of Hasbrouck (1993) to a multivariate setting. We discuss identification issues and propose a new measure for the contribution of each market to price discovery related to the Hasbrouck (1995) information shares. We apply the model to two sets of Nasdaq dealer quotes.
| Original language | English |
|---|---|
| Pages (from-to) | 1-28 |
| Number of pages | 28 |
| Journal | Journal of Financial Econometrics |
| Volume | 8 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2010 |