In a security market with asymmetrically informed participants, trades are signals of private information. In this article, new measures of trade informativeness are proposed based on a decomposition of the variance of changes in the efficient price into trade-correlated and -uncorrelated...

This article investigates the behavior of intraday trades and quotes for individual stocks on the Tokyo Stock Exchange (TSE). We examine the transaction and quote record for three firms for the first 3 months of 1990. Our findings suggest that the immediacy available (at least for small trades)...

I discuss a new method for measuring the deviations between actual transaction prices and implicit efficient prices. The approach decomposes security transaction prices into random-walk and stationary components. The random-walk component may be identified with the efficient price. The...