Intraday Price Formation in US Equity Index Markets

@inproceedings{Hasbrouck2000IntradayPF,
  title={Intraday Price Formation in US Equity Index Markets},
  author={J. J. Hasbrouck},
  year={2000}
}
Preliminary draft Not for attribution Comments welcome Current drafts of this paper and the associated computer programs and data will be posted to my web site: All errors are my own responsibility. Abstract / Summary The market for US equity indexes has traditionally comprised floor-traded index futures contracts and the individual markets for the component stocks. This picture has been altered by the advent of exchange-traded funds (ETFs) that mirror the indexes, electronically-traded, small… CONTINUE READING
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