To address the order-dependence issue in Hasbrouck’s (1995) Information Share (IS) measure, which assesses a market’s contribution to price discovery, we propose a new metric called the Price Discovery Share (PDS). The PDS is straightforward to compute, easy to interpret, order invariant, and unique. Our measure is inspired by a commonly used method in portfolio risk management that decomposes portfolio volatility into specific contributions from each asset. Through analytical methods and simulations, we demonstrate that the PDS measure offers significant advantages over both the original IS measure and the Modified Information Share (MIS) measure proposed by Lien and Shrestha (2009).

中文翻译：

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价格发现份额：价格发现的阶数不变度量


为了解决 Hasbrouck（1995）信息份额（IS）指标中的订单依赖性问题，该指标评估市场对价格发现的贡献，我们提出了一个称为价格发现份额（PDS）的新指标。 PDS 计算简单、易于解释、顺序不变且唯一。我们的衡量标准受到投资组合风险管理中常用方法的启发，该方法将投资组合波动性分解为每项资产的具体贡献。通过分析方法和模拟，我们证明 PDS 措施比原始 IS 措施和 Lien 和 Shrestha (2009) 提出的修改信息共享 (MIS) 措施具有显着优势。