Price discovery in tick time

Bart Frijns and Peter Schotman

Journal of Empirical Finance, 2009, vol. 16, issue 5, 759-776

Abstract: This paper develops a tick time model for the quote setting dynamics on Nasdaq. The model decomposes quotes into an efficient price, asymmetric information and noise. Both the evolution of the efficient price and the information contents of quotes depend on quote durations. New measures for the contribution to price discovery are defined within this model. When aggregated to fixed calendar time intervals, they relate closely to Hasbrouck [Hasbrouck, Joel, 1995, One security, many markets: determining the contribution to price discovery, Journal of Finance 50, 1175-1199] information shares. Empirical results for 20 Nasdaq stocks indicate that ECNs, in particular Island, contribute most to price discovery for active stocks. For less active stocks, wholesale market makers contribute most.

Keywords: Price; discovery; Tick; time; models; Nasdaq; Ultra-high; frequency; data; Microstructure (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (13)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0927-5398(09)00051-6
Full text for ScienceDirect subscribers only

Related works:
Working Paper: Price Discovery in Tick Time (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:empfin:v:16:y:2009:i:5:p:759-776

Access Statistics for this article

Journal of Empirical Finance is currently edited by R. T. Baillie, F. C. Palm, Th. J. Vermaelen and C. C. P. Wolff

More articles in Journal of Empirical Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().