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Measuring Private Information in a Canonical Specialist Market: A Comparative Study


Chris Lamoureux


University of Arizona - Department of Finance

Qin Wang


University of Michigan - Dearborn
February 8, 2013


Abstract:     
We consider the efficacy of statistical measures of asymmetric information in the context of a canonical specialist market. We note that none of the measures is nested within a larger model, so we cannot evaluate goodness of fit using standard statistical tools. Furthermore, we find that pairwise correlations amongst the measures are small. Therefore, we benchmark these measures cross-sectionally to realized specialist loss rates (using alternatively volume and number of trades) in the TORQ data. We find that most measures are positively correlated with specialist loss rates, and two of the six models we consider statistically dominate the other four.

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Date posted: July 5, 2012 ; Last revised: February 12, 2013

Suggested Citation

Lamoureux, Chris and Wang, Qin, Measuring Private Information in a Canonical Specialist Market: A Comparative Study (February 8, 2013). Available at SSRN: http://ssrn.com/abstract=2100430 or http://dx.doi.org/10.2139/ssrn.2100430

Contact Information

Chris Lamoureux
University of Arizona - Department of Finance ( email )
McClelland Hall
P.O. Box 210108
Tucson, AZ 85721-0108
United States
520-621-7488 (Phone)
Qin Wang (Contact Author)
University of Michigan - Dearborn ( email )
Dearborn, MI 48126
United States
313-583-6487 (Phone)
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References:  51
Footnotes:  6

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