What do price discovery metrics really measure?

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

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

Market Design, Percent Information Share, Market Microstructure +19

Estimation of Common Long-Memory Components in Cointegrated Systems

Jesús Gonzalo, Clive W. J. Granger · Journal of Business and Economic Statistics · 1995 · 1.3K citations

Cointegrated System, Analyze Cointegration, Engineering +15

Informed Trading in Stock and Option Markets

Sugato Chakravarty, Huseyin Gulen, Stewart Mayhew · The Journal of Finance · 2004 · 772 citations

Market Microstructure, Informed Trading, Option Pricing +15

The Summary Informativeness of Stock Trades: An Econometric Analysis

Joel Hasbrouck · Review of Financial Studies · 1991 · 568 citations

Market Microstructure, Empirical Finance, Financial Economics +13

Price discovery and common factor models

Richard T. Baillie, G. Geoffrey Booth, Yiuman Tse et al. · Journal of Financial Markets · 2002 · 553 citations

Economics, Dynamic Pricing, Asset Pricing +8