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There is a stock that is quoted on 2 exchanges and I'm thinking about ideal (from market micro structure point) method for calculate true value of that asset.

Assuming that venue with volume traded have better valuation, we will make weighted average of price by volume traded in some time (for example 1h), but that method not including book view (besides midpoint calculation).

Someone know to properly valuate asset in this case?

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Cross-posted on NP –  Joshua Ulrich Aug 17 '14 at 20:24

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