We investigate the use of subsampling for conducting inference about quadratic variation of a discretely observed di¤usion process under an in…ll asymptotic scheme. The subsampling method of Politis and Romano (1994) has been shown to be useful in many situations as a way of conducting inference under weak assumptions and without utilizing knowledge of limiting distributions. We show that this ...

/department of mechanical engineering Introduction Noise reduction is a key issue for High-tech and high precision instruments. To reduce the noise levels emitted by internal or external sources, porous materials can be used for acoustic shielding. The acoustic wave penetrates into the pore network, and part of its energy is dissipated as heat by viscous friction and thermal-elastic damping, ma...

This paper provides a micro foundation for the behavior assumptions as well as outcomes in noisy rational expectations equilibrium models. If there are gains from trade, and all agents are rational and can acquire costly information, then equilibria in double auction markets may have the following properties. (i) Ex ante identically informed agents evolve endogenously to noise traders, speculat...

Microstructure noise contaminates high-frequency estimates of asset price volatility. Recent work has determined a preferred sampling frequency under the assumption that the properties of noise are constant. Given the sampling frequency, the highfrequency observations are given equal weight. While convenient, constant weights are not necessarily efficient. We use the Kalman filter to derive mor...

It is common practice in finance to estimate volatility from the sum of frequentlysampled squared returns. However, market microstructure poses challenges to this estimation approach, as evidenced by recent empirical studies in finance. I will talk briefly about the present work on how to lay out theoretical grounds that reconcile continuous-time modeling and discrete-time samples. I will menti...

We analyze the ex-post variation of equity prices in the frequency domain. A realized periodogram-based estimator is proposed, which consistently estimates the quadratic variation of the log equilibrium price process. For prices which are contaminated by market microstructure noise, the proposed estimator behaves like a filter: it removes the noise by filtering out high frequency periodograms. ...

Finescale estimates of diapycnal diffusivity k are computed from CTD and expendable CTD (XCTD) data sampled in Drake Passage and in the eastern Pacific sector of the Southern Ocean and are compared against microstructure measurements from the same times and locations. The microstructure data show vertical diffusivities that are one-third to one-fifth as large over the smooth abyssal plain in th...