The document discusses proprietary trading systems (PTS) and their market characteristics in comparison to the Tokyo Stock Exchange (TSE). It examines the price discovery process between the two markets using minute-level price data for Sony shares traded on both platforms on December 26, 2011. A vector error correction model and cointegration tests show a cointegrating relationship between the execution prices on the two platforms, suggesting both markets contribute to price discovery.
地方におけるオープンデータ活用の仕組みから実践まで(自治体ICT活用セミナー) in 浜松市 (20150522)
https://www.kosai.org/johuzfyro-2055/?block_id=2055&active_action=journal_view_main_detail&post_id=1160&comment_flag=1