Original paper
Quantile information share
Abstract
This paper presents a new method to estimate Hasbrouck‐type market information share in price discovery. The prevailing market information share is calculated on the basis of conditional mean. We propose a conditional quantile regression approach to obtain a new market information share measure, quantile information share, which varies across the combinations of different price quantiles. The method is illustrated with two data sets, one on the...
Paper Details
Title
Quantile information share
Published Date
Jul 8, 2018
Journal
Volume
39
Issue
1
Pages
38 - 55
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