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I meant the method in this paper: https://www.jstor.org/stable/2329348

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  • $\begingroup$ It is a measure of the influence of several trading venues on a SINGLE STOCK, not a measure of lead lag relations BETWEEN STOCKS. Also, the trading environment has changed enormously since 1995. $\endgroup$
    – noob2
    Feb 23 '17 at 20:20
  • $\begingroup$ @noob2 not sure, why do you think it matters. $\endgroup$
    – LazyCat
    Feb 23 '17 at 21:17

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