Relative Spread and Price Discovery

@inproceedings{Aldricha2016RelativeSA,
  title={Relative Spread and Price Discovery},
  author={Eric M. Aldricha and Seung Leeb},
  year={2016}
}
  • Eric M. Aldricha, Seung Leeb
  • Published 2016
We develop a theoretical model to highlight a previously unexplored mechanism of price discovery: relative minimum price increments for equivalent assets trading on distinct financial exchanges. Although conventional wisdom dictates that futures market assets lead equities equivalents in terms of price formation, our model predicts that the opposite should… CONTINUE READING