Measuring the Information Content of Stock Trades

Joel Hasbrouck · 1991 · The Journal of Finance

IntermediateHFTIntradayMethod

A VAR of trades and quote revisions measures the permanent price impact of trades. Still the template for impact estimation.

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At a glance

Level: Intermediate: Comfortable with statistics, regressions and basic probability models
Horizon: HFT, Intraday
Data needed: Trades, L1 quotes Set what data you have
Themes: Price impact Microstructure
Assets: Equities
Market: US

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@article{hasbrouck1991measuring,
  author = {Hasbrouck, Joel},
  title = {{Measuring the Information Content of Stock Trades}},
  journal = {The Journal of Finance},
  year = {1991},
  doi = {10.1111/j.1540-6261.1991.tb03749.x}
}

Hasbrouck, J. (1991). Measuring the Information Content of Stock Trades. The Journal of Finance. https://doi.org/10.1111/j.1540-6261.1991.tb03749.x