Understanding price discovery in interconnected markets: Generalized Langevin process approach and simulation

作者：Schenck Natalya A; Horvath Philip A; Sinha Amit K^*

来源：Physica A: Statistical Mechanics and Its Applications , 2018, 491: 741-748.

DOI：10.1016/j.physa.2017.08.132

• Market microstructure
• Price discovery
• langevin process

While the literature on price discovery process and information flow between dominant and satellite market is exhaustive, most studies have applied an approach that can be traced back to Hasbrouck (1995) or Gonzalo and Granger (1995). In this paper, however, we propose a Generalized Langevin process with asymmetric double-well potential function, with co-integrated time series and interconnected diffusion processes to model the information flow and price discovery process in two, a dominant and a satellite, interconnected markets. A simulated illustration of the model is also provided.

• 出版日期2018-2-1