Construct · 1 fields · 1 citations

information share: a standalone construct

One name. One construct. A landmark on the map.

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Market microstructure

the proportion of the variance of a security's efficient price innovations attributable to a given trading venue, measuring its contribution to price discovery.

In market microstructure, information share refers to the proportion of the variance of a security's efficient price innovations attributable to a given trading venue, measuring its contribution to price discovery. This meaning comes from Hasbrouck (1995) in The Journal of Finance.[1]

Unit
Recovery means
Measured by

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Nearby constructs

contribution2 fields · 3 citationsjingle · one word, two carriers information4 fields · 5 citationsjingle · one word, four constructs market3 fields · 5 citationsjingle · one word, three constructs

References

Hasbrouck, J. (1995). One Security, Many Markets: Determining the Contributions to Price Discovery. The Journal of Finance, 50(4), 1175-1199. https://doi.org/10.1111/j.1540-6261.1995.tb04054.x

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