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14-027/III - Intraday Price Discovery in Fragmented Markets

  • Authors
    Sait Ozturk, Econometric Institute, Erasmus University Rotterdam; Michel van der Wel, Econometric Institute, Erasmus University Rotterdam
  • Publication date
    February 27, 2014
  • Keywords
    High-frequency data, Market microstructure, Price Discovery, Kalman filter
  • JEL
    C32, G14
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