The friction-free weighted price contribution

dc.contributor.author	Abad, David
dc.contributor.author	Pascual, Roberto
dc.date.accessioned	2020-04-21T07:42:43Z
dc.identifier.uri	http://hdl.handle.net/11201/152064
dc.description.abstract	[eng] We introduce a methodology to obtain friction-free estimates of Barclay and Warner's (1993) Weighted Price Contribution (WPC). With this new approach, we verify recent simulation results suggesting that trading frictions may severely bias the WPC approach. We use high frequency data from a European electronic order-driven market to show that frictions generate a sizable downward bias in the WPC of non-aggressive small-size trades. The bias increases in periods of significant price discovery, and is due to both bid-ask bounce and serial correlation in the quote-midpoint changes. We show that our results extend to the US case.
dc.format	application/pdf
dc.relation.isformatof	Versió postprint del document publicat a: https://doi.org/10.1016/j.iref.2014.11.025
dc.relation.ispartof	International Review Of Economics & Finance, 2015, vol. 37, p. 226-239
dc.subject.classification	33 - Economia
dc.subject.other	33 - Economics. Economic science
dc.title	The friction-free weighted price contribution
dc.type	info:eu-repo/semantics/article
dc.type	info:eu-repo/semantics/acceptedVersion
dc.date.updated	2020-04-21T07:42:43Z
dc.date.embargoEndDate	info:eu-repo/date/embargoEnd/2026-12-31
dc.embargo	2026-12-31
dc.rights.accessRights	info:eu-repo/semantics/embargoedAccess
dc.identifier.doi	https://doi.org/10.1016/j.iref.2014.11.025