The price leadership share: a new measure of price discovery in financial markets
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DOI: 10.1007/s10436-020-00371-3
Abstract: We propose a new measure to establish price leadership among multiple related price series using a multivariate Markov chain model. This new measure, the price leadership share (PLS), can easily be calculated when price series… read more here.
Keywords: price discovery; price; measure; price leadership ... See more keywords