High-Frequency Price Discovery of Gold

Impact of the Introduction of Call Auction on Price Discovery: Evidence from the Indian Stock Market Using High-Frequency Data

SSRN Electronic Journal ◽

10.2139/ssrn.2188542 ◽

2012 ◽

Author(s):

Sobhesh Kumar Agarwalla ◽

Joshy Jacob ◽

Ajay Pandey

Keyword(s):

Stock Market ◽

High Frequency ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Call Auction ◽

Indian Stock Market

Download Full-text

The implications of high-frequency trading on market efficiency and price discovery

Applied Economics Letters ◽

10.1080/13504851.2014.914135 ◽

2014 ◽

Vol 21 (16) ◽

pp. 1148-1151 ◽

Cited By ~ 4

Author(s):

Viktor Manahov ◽

Robert Hudson

Keyword(s):

Market Efficiency ◽

High Frequency ◽

Price Discovery ◽

High Frequency Trading

Download Full-text

Intertemporal price discovery between stock index futures and spot markets: New evidence from high‐frequency data

International Journal of Finance & Economics ◽

10.1002/ijfe.1827 ◽

2020 ◽

Author(s):

Imtiaz Mohammad Sifat ◽

Azhar Mohamad ◽

Kevin Reinaldo Amin

Keyword(s):

High Frequency ◽

Price Discovery ◽

Stock Index ◽

High Frequency Data ◽

Spot Markets ◽

Stock Index Futures ◽

Frequency Data ◽

Index Futures ◽

New Evidence

Download Full-text

High frequency trading, price discovery and market efficiency in the FTSE100

Economics Letters ◽

10.1016/j.econlet.2019.05.022 ◽

2019 ◽

Vol 181 ◽

pp. 174-177 ◽

Cited By ~ 2

Author(s):

Vitor Leone ◽

Frank Kwabi

Keyword(s):

Market Efficiency ◽

High Frequency ◽

Price Discovery ◽

High Frequency Trading

Download Full-text

Price Discovery and Volatility Spillovers in the European Union Emissions Trading Scheme: A High-Frequency Analysis

SSRN Electronic Journal ◽

10.2139/ssrn.1514394 ◽

2011 ◽

Cited By ~ 1

Author(s):

Daniel Rittler

Keyword(s):

European Union ◽

Frequency Analysis ◽

High Frequency ◽

Emissions Trading ◽

Price Discovery ◽

The European Union ◽

Volatility Spillovers ◽

Emissions Trading Scheme ◽

Trading Scheme

Download Full-text

Financial crises, price discovery, and information transmission: a high-frequency perspective

Financial Markets and Portfolio Management ◽

10.1007/s11408-018-0318-3 ◽

2018 ◽

Vol 32 (4) ◽

pp. 333-365 ◽

Cited By ~ 1

Author(s):

Roland Füss ◽

Ferdinand Mager ◽

Michael Stein ◽

Lu Zhao

Keyword(s):

Information Transmission ◽

High Frequency ◽

Financial Crises ◽

Price Discovery

Download Full-text

Exploring the dynamic price discovery, risk transfer and spillover among INE, WTI and Brent crude oil futures markets: Evidence from the high-frequency data

International Journal of Finance & Economics ◽

10.1002/ijfe.1914 ◽

2020 ◽

Author(s):

Yue-Jun Zhang ◽

Shu-Jiao Ma

Keyword(s):

Crude Oil ◽

High Frequency ◽

Futures Markets ◽

Price Discovery ◽

High Frequency Data ◽

Frequency Data ◽

Oil Futures ◽

Risk Transfer ◽

Dynamic Price ◽

Crude Oil Futures

Download Full-text

High‐Frequency Price Discovery and Price Efficiency on Interest Rate Futures

Journal of Futures Markets ◽

10.1002/fut.22016 ◽

2019 ◽

Vol 39 (11) ◽

pp. 1394-1434

Author(s):

Jing Nie

Keyword(s):

Interest Rate ◽

High Frequency ◽

Price Discovery ◽

Price Efficiency ◽

Interest Rate Futures

Download Full-text

High Frequency Trading and Price Discovery

SSRN Electronic Journal ◽

10.2139/ssrn.1928510 ◽

2012 ◽

Cited By ~ 54

Author(s):

Terrence Hendershott ◽

Ryan Riordan

Keyword(s):

High Frequency ◽

Price Discovery ◽

High Frequency Trading

Download Full-text

High Frequency Trading and Price Discovery

SSRN Electronic Journal ◽

10.2139/ssrn.2341037 ◽

2013 ◽

Author(s):

Jonathan Brogaard ◽

Terrence J. Hendershott ◽

Ryan Riordan

Keyword(s):

High Frequency ◽

Price Discovery ◽

High Frequency Trading

Download Full-text