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- W3124287588 abstract "In the era of high frequency trading and the pervasiveness of irregularly spaced trading, we control for the time element in the Modified Weighted Price Contribution (MWPC) model by Jahanshahloo and Spokeviciute (2018). We empirically show that our new modification controls for reaction time (Speed) of market participants to arrival of new information." @default.
- W3124287588 created "2021-02-01" @default.
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- W3124287588 date "2021-11-01" @default.
- W3124287588 modified "2023-09-26" @default.
- W3124287588 title "Time weighted price contribution" @default.
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- W3124287588 doi "https://doi.org/10.1016/j.frl.2021.101947" @default.
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