One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · 1995 · The Journal of Finance

AdvancedHFTIntradayMethod

Information share: which venue or instrument leads price discovery. Directly applicable to Nifty futures vs cash vs options lead-lag.

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At a glance

Level: Advanced: Stochastic control, point processes, heavy econometrics or deep learning
Horizon: HFT, Intraday
Data needed: L1 quotes Set what data you have
Themes: Microstructure
Assets: Equities
Market: US

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@article{hasbrouck1995security,
  author = {Hasbrouck, Joel},
  title = {{One Security, Many Markets: Determining the Contributions to Price Discovery}},
  journal = {The Journal of Finance},
  year = {1995},
  doi = {10.1111/j.1540-6261.1995.tb04054.x}
}

Hasbrouck, J. (1995). One Security, Many Markets: Determining the Contributions to Price Discovery. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1995.tb04054.x