What is Information share?

The information share of a market (Hasbrouck, 1995) is its innovations’ proportional contribution to the variance of the innovation in the common efficient price: with $F$ the lower Cholesky factor of $\Omega$, $\mathrm{IS}_j=([\psi F]_j)^2/(\psi\Omega\psi')$. The Cholesky factor depends on the order of the markets when their innovations are correlated, so the shares are reported as bounds over the orderings.