Measures of Contributions to Price Discovery: A Comparison

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  • 1 January 2001
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      • Published in RePEc
Abstract
This note clarifies the relation between two competing definitions of the contribution to pricediscovery in market microstructure models: (i) the information share and (ii) the common factorcomponent weight. It is demonstrated that the two measures are closely related, but that only theinformation share takes into account the variability of the innovations in each market's price.
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