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A Factor Analytical Approach to Price Discovery

Reese, Simon LU ; Westerlund, Joakim LU and Narayan, Paresh (2015) In Working Paper / Department of Economics, School of Economics and Management, Lund University
Abstract
Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.
Please use this url to cite or link to this publication:
author
organization
publishing date
type
Working Paper
publication status
published
subject
keywords
Price discovery, panel data, common factor models, cross-unit cointegration
in
Working Paper / Department of Economics, School of Economics and Management, Lund University
issue
4
pages
35 pages
publisher
Department of Economics, Lund Universtiy
language
English
LU publication?
yes
id
6de8f042-8258-4855-bb92-44fc14b54c0c (old id 5044648)
alternative location
http://swopec.hhs.se/lunewp/abs/lunewp2015_004.htm
date added to LUP
2015-02-05 09:37:41
date last changed
2016-04-16 09:23:43
@misc{6de8f042-8258-4855-bb92-44fc14b54c0c,
  abstract     = {Existing econometric approaches for studying price discovery presume that the number of markets are small, and their properties become suspect when this restriction is not met. They also require making identifying restrictions and are in many cases not suitable for statistical inference. The current paper takes these shortcomings as a starting point to develop a factor analytical approach that makes use of the cross-sectional variation of the data, yet is very user-friendly in that it does not involve any identifying restrictions or obstacles to inference.},
  author       = {Reese, Simon and Westerlund, Joakim and Narayan, Paresh},
  keyword      = {Price discovery,panel data,common factor models,cross-unit cointegration},
  language     = {eng},
  number       = {4},
  pages        = {35},
  publisher    = {ARRAY(0xb58d228)},
  series       = {Working Paper / Department of Economics, School of Economics and Management, Lund University},
  title        = {A Factor Analytical Approach to Price Discovery},
  year         = {2015},
}