Estimation for high-frequency data under parametric market microstructure noise
نویسندگان
چکیده
منابع مشابه
Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk
Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...
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ژورنال
عنوان ژورنال: Annals of the Institute of Statistical Mathematics
سال: 2020
ISSN: 0020-3157,1572-9052
DOI: 10.1007/s10463-020-00762-3