Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/297111 
Year of Publication: 
2023
Series/Report no.: 
LEM Working Paper Series No. 2023/03
Publisher: 
Scuola Superiore Sant'Anna, Laboratory of Economics and Management (LEM), Pisa
Abstract: 
I propose a new measure of price discovery, which I will refer to as the Independent Component based Information Share (IC-IS). This measure constitutes a variant of the widespread Information Share, with the main difference being it does not suffer the same identification issues. Under the assumptions of non-normality and independence of the shocks, a rather general theoretical framework leading to the estimation of the IC-IS is illustrated. After testing the robustness of the proposed measures to different non-Normal distributions in a simulated environment, an empirical exercise encompassing different price discovery applications will follow.
Subjects: 
Vector error correction models (VECMs)
information shares
market microstructure
independent component analysis
pseudo maximum likelihood
price discovery
JEL: 
C32
C58
G14
Document Type: 
Working Paper

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