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Difficulty: Hard
Category: Market Microstructure
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Topics: market-microstructure, information-share, time-series, econometrics
Hasbrouck's information share measures the proportion of price discovery attributed to each trading venue. Consider two exchanges, Exchange A and Exchange B, where a particular stock is traded. You are tasked with determining which statistical framework is most appropriate to estimate the Hasbrouck information share between these two exchanges. Which of the following statistical models is the most commonly used in estimating Hasbrouck's information share?
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