Local mispricing and microstructural noise: a parametric perspective

DOI10.1016/J.JECONOM.2021.06.006MaRDI QIDQ2172020zbMATH OpenOpenAlexFDO

Authors Torben G. Andersen, Ilya Archakov, Nikolaus Hautsch, Gökhan Cebiroğlu

Publication date 14 September 2022

Published in Journal of Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jeconom.2021.06.006

zbMATH Keywords

market microstructure noisemomentumvolatility estimationContrarian tradingprice reversal

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites work

• scientific article; zbMATH DE number 6324332 (Why is no real title available?)
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• Estimating the quadratic covariation matrix from noisy observations: local method of moments and efficiency
• Inference for Continuous Semimartingales Observed at High Frequency
• Microstructure Noise, Realized Variance, and Optimal Sampling
• On high frequency estimation of the frictionless price: the use of observed liquidity variables
• On the correlation structure of microstructure noise: a financial economic approach
• Statistical Properties of Microstructure Noise
• The speed of information revelation in a financial market mechanism

Cited in

(1)

• Corrigendum to ``Local mispricing and microstructural noise: a parametric perspective

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