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