| Authors |
|
| Publication date |
2001
|
| Series |
Tinbergen Institute Discussion Paper, TI2001-114/2
|
| Number of pages |
9
|
| Publisher |
Amsterdam: Tinbergen Institute
|
| Organisations |
-
Faculty of Economics and Business (FEB) - Amsterdam Business School Research Institute (ABS-RI)
|
| 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.
|
| Document type |
Working paper
|
| Language |
English
|
| Published at |
http://papers.tinbergen.nl/01114.pdf
|
|
Permalink to this page
|