A Simple Multimarket Measure of Information Asymmetry
提出一个基于知情交易者更可能产生异常交易量的直觉的多市场信息不对称度量（MIA），无需估计结构模型，实证显示其与价差、价格冲击等正相关，并能预测未来波动率。
We develop and implement a new measure of information asymmetry among traders. Our measure is based on the intuition that informed traders are more likely than uninformed traders to generate abnormal volume in options or stock markets. We formalize this intuition theoretically and compute the resulting multimarket information asymmetry measure (MIA) for firm-days as a function of unsigned volume totals and without estimating a structural model. Empirically, MIA has many desirable properties: it is positively correlated with spreads, price impact, and absolute order imbalances; predicts future volatility; is an effective conditioning variable for trading strategies stemming from price pressure; and detects exogenous shocks to information asymmetry. This paper was accepted by Lauren Cohen, finance.