RDP 2018-09: Identifying Repo Market Microstructure from Securities Transactions Data
Equation (4)
h
a
i
r
c
u
t
=
m
a
r
k
e
t
p
r
i
c
e
×
f
a
c
e
v
a
l
u
e
c
o
n
s
i
d
e
r
a
t
i
o
n
−
1