A model of price discovery and market de
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Michael T. Chng
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Article
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2004
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John Wiley and Sons
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English
β 263 KB
## Abstract Price discovery is an essential function performed by derivative markets. For a derivative exchange, its markets' ability to incorporate information into prices to βderiveβ the underlying asset's value is a key objective of market design. The J. Hasbrouck (1991a) model is applied to exa