---
title: Multiscale Price Discovery in Indian Markets
url: https://www.ml-quant.com/papers/ssrn/5214406/
site: ML-Quant (https://www.ml-quant.com)
updated: 2026-09-26
license: Summaries CC BY 4.0; links go to the original sources
index: https://www.ml-quant.com/llms.txt
identifier: SSRN 5214406
source_url: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5214406
featured: 2025-04-16
citations: unknown
topic: Derivatives & Volatility
---


# Multiscale Price Discovery in Indian Markets

The study shows that about 90% of information exchange between the Nifty index spot and futures markets occurs within two weeks, with volatility being more crucial than liquidity for improving the informational efficiency of the index futures market.

- Source: https://papers.ssrn.com/sol3/papers.cfm?abstract_id=5214406
- Identifier: SSRN 5214406
- Released: 2025-04-12
- First featured: Quant Letter No. 93 (2025-04-16): https://www.ml-quant.com/issues/2025-04-16/
- Citations (Semantic Scholar): not tracked
- Published in: not yet
- Topic: Derivatives & Volatility

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