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Keywords: Price Contribution
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Journal Articles
Journal of Derivatives and Quantitative Studies: Seonmul yeon’gu (2013) 21 (2): 169–202.
Published: 31 May 2013
.... The overall results of this study can be summarized as follows; First, we find that the weighted price contribution (WPC) exhibits asymmetric ‘W’-shaped curve during session. This finding is interpreted as that information is consequently transmitted from Globex and NYSE with ‘U’-shaped curve of intradaily...
