Price Discovery

Price Discovery is a market process through which the equilibrium price of a commodity or financial instrument is established by the interaction of supply and demand in a transparent and competitive trading environment.

677

Publications

50.2K

Citations

1.1K

Authors

661

Institutions

Publications per year

2017–2026

149

Parents

Commodity MarketsFinancial Markets

Children

Asymmetric Price DiscoveryCash-futures BasisFutures Market EfficiencyHigh-frequency Price DiscoveryInformation ArrivalLead-lag RelationshipsLimit Order Book DynamicsLiquidity Effects On Price DiscoveryNews ArrivalPrice Adjustment Speed

Publications

677

One Security, Many Markets: Determining the Contributions to Price Discovery

Joel Hasbrouck · The Journal of Finance · 1995 · 1.6K citations

Business, Economics, Finance +17

Micro Effects of Macro Announcements: Real-Time Price Discovery in Foreign Exchange

Torben G. Anderson, Tim Bollerslev, Francis X. Diebold et al. · American Economic Review · 2003 · 1.4K citations

Social Sciences, Economics, Finance +16

Entrepreneurial Discovery and the Competitive Market Process: An Austrian Approach

Israel M. Kirzner · SSRN Electronic Journal · 1997 · 1.2K citations · Full text

Social Sciences, Business Economics, Economics +9

High-Frequency Trading and Price Discovery

Jonathan Brogaard, Terrence Hendershott, Ryan Riordan · Review of Financial Studies · 2014 · 1.2K citations · Full text

Business, Economics, Finance +14

Real-time price discovery in global stock, bond and foreign exchange markets

Torben G. Andersen, Tim Bollerslev, Francis X. Diebold et al. · Journal of International Economics · 2007 · 1.2K citations

Business, Economics, Finance +16

1–5 of 677

Authors

1.1K

YT
Yiuman Tse
The University of Texas at San Antonio, United States
16 publications · 1.9K citations
15
h-index
DA
David A. Bessler
Texas A&M University, United States
12 publications · 662 citations
12
h-index
TH
Terrence Hendershott
University of California, Berkeley, United States
10 publications · 2.7K citations
10
h-index
RR
Ryan Riordan
Queen's University, Canada
10 publications · 2.4K citations
10
h-index
BF
Bart Frijns
Auckland University of Technology, New Zealand
8 publications · 329 citations
8
h-index

1–5 of 1.1K

Institutions

661

1–8 of 661

Venues

Journal of Futures Markets
70 publications · 5K citations
38
h-index
SSRN Electronic Journal
Repository · 107 publications · 5.2K citations
33
h-index
The Journal of Finance
18 publications · 6.3K citations
18
h-index
Journal of Banking & Finance
18 publications · 1.3K citations
17
h-index
Journal of Financial Markets
16 publications · 1.8K citations
15
h-index

1–5