How Long is Five Minutes?
Validating against event-contract settlement data, the five-minute midquote captures only 68.7% of true price impact and significantly misprices thin markets, challenging the convention.
Featured in No. 137 on 30 Oct 2026 · on release day
- Released
- 30 Oct 2026
- First featured
- No. 137 · 30 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- SSRN 7667218
- Authors
- Kedar Sahu
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).