Hasbrouck Information Share

Definition

Hasbrouck Information Share in plain English

The same stock often trades in several places at once (different exchanges), and you might wonder: when the 'true' price moves, which venue actually figured it out first? The Hasbrouck Information Share is a scoring method that answers this — it looks at the surprises (unexpected jolts) in the shared underlying price and splits credit for them across the venues, giving each a percentage of how much it drives real price discovery. Think of several weather stations reporting the same storm: this tool tells you which station's readings the others tend to follow. A venue with a high share is the leader; the rest are mostly echoing it.

Learn these first

• Front-Running
• Zero-Sum Game

Related Market Microstructure terms

• Access Rule (Rule 610)
• Adverse Selection
• Algorithmic Trading
• Amihud Illiquidity Measure
• Arbitrage
• Ask (Offer)
• Best Execution
• Bid
• Bid–Ask Bounce
• Bid–Ask Spread