1
$\begingroup$

I meant the method in this paper: https://www.jstor.org/stable/2329348

$\endgroup$
2
  • $\begingroup$ It is a measure of the influence of several trading venues on a SINGLE STOCK, not a measure of lead lag relations BETWEEN STOCKS. Also, the trading environment has changed enormously since 1995. $\endgroup$
    – nbbo2
    Feb 23, 2017 at 20:20
  • $\begingroup$ @noob2 not sure, why do you think it matters. $\endgroup$
    – LazyCat
    Feb 23, 2017 at 21:17

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.