Price Discovery
Price discovery is the process through which dispersed information becomes reflected in executable prices across participants and venues.
Central questions
- Which event moved the quote, and was the move informative or temporary?
- How is leadership measured across fragmented venues?
- What benchmark represents an unobserved efficient price?
Planned model
Inject public and private signals into participants trading across two venues. Show quote changes, trades, lag, noise, and competing estimates of the latent value.