Introduction to the 2018 Hal White Memorial Lecture
介绍2018年哈尔·怀特纪念讲座，Joel Hasbrouck基于论文《高分辨率下的价格发现》发表演讲，提出并估计了从亚毫秒到一秒分辨率的向量误差修正模型，并开发了脉冲响应函数的桥接方法，应用于资产数据发现信息份额特征。
Every year the Society for Financial Econometrics celebrates the fundamental contributions to econometric theory and practice made by our late colleague and friend Hal White. Central to these celebrations is a lecture presented by an established scholar during a plenary session of the Society’s Annual Conference. This lecture is subsequently published in the journal. The 2018 Hal White Memorial Lecture was given by Joel Hasbrouck based on the paper “Price Discovery in High Resolution.” The lecture, followed by four commentaries and a re-joinder, form the content of this issue of the journal. Joel Hasbrouck’s lecture focuses on a key area in empirical market microstructure which seeks to understand the granular properties of pricing dynamics from the identification of appropriate price innovations and the separation of permanent from transient price impact effects. The lecture addresses this issue by proposing and estimating at resolutions from sub-milliseconds to one second a Vector Error Correction model with heterogeneous autoregressive dynamics. The lecture also develops a bridge methodology for the computation of Impulse Response Functions in such contexts. Applications of this approach to selected sets of assets show (i) that the information share of direct market data feeds may dominate that of consolidated data feeds; (ii) that the information share of listing exchanges may dominate that of non-listing exchanges, and (iii) that quotes and lit trades may essentially account for all price discovery at high resolutions, while having a discernible but small information contribution at the 1-s resolution.