Trades, Quotes, and (Unbiased) Information Shares

56 Pages Posted: 15 Feb 2023

See all articles by Björn Hagströmer

Björn Hagströmer

Stockholm University - Stockholm Business School

Albert J. Menkveld

Vrije Universiteit Amsterdam

Date Written: July 08, 2024


Information arrives at securities markets through price quotes and trades.  Informed traders impose adverse-selection costs on quote suppliers.  This creates incentives for the latter to identify relatively uninformed groups and trade with them off-exchange.  The marketplace turns hybrid, at the cost of thinner, highly informed (toxic) volume at the center.  This pattern has largely eluded econometricians, because the standard approach to measuring information shares is biased against finding it.  We show why this is the case, and design a bias-free approach.  The novel approach shows that, indeed, the conjectured pattern is strongly present in the data.

Keywords: price quotes, trades, information share

JEL Classification: G10, G14

Suggested Citation

Hagströmer, Björn and Menkveld, Albert J., Trades, Quotes, and (Unbiased) Information Shares (July 08, 2024). Available at SSRN: or

Björn Hagströmer

Stockholm University - Stockholm Business School ( email )


Albert J. Menkveld (Contact Author)

Vrije Universiteit Amsterdam ( email )

De Boelelaan 1105
Amsterdam, 1081HV
+31 20 5986130 (Phone)
+31 20 5986020 (Fax)

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