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- W3121886616 abstract "Abstract We analyze the statistical properties of three price discovery measures: The variance ratio, the weighted price contribution ( WPC ), and the R 2 of unbiasedness regressions. We find that, if the price process is a driftless martingale, only the WPC is an unbiased estimator for the return variance explained during a time interval. For autocorrelated processes with a drift, only the R 2 of the unbiasedness regression is consistent, but it is biased for small samples." @default.
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- W3121886616 date "2011-09-01" @default.
- W3121886616 modified "2023-10-18" @default.
- W3121886616 title "Measuring price discovery: The variance ratio, the R2, and the weighted price contribution" @default.
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- W3121886616 doi "https://doi.org/10.1016/j.frl.2011.05.003" @default.
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