A new microstructure noise index

DOI10.1080/14697680903514352zbMATH Open1217.91212OpenAlexW2025492483MaRDI QIDQ3019507FDOQ3019507

Authors: Mathieu Rosenbaum 

Publication date: 28 July 2011

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903514352

Recommendations

• Study of some problems of statistical estimation in finance.
• Statistical Properties of Microstructure Noise
• A ReMeDI for microstructure noise
• Measuring the relevance of the microstructure noise in financial data
• Microstructure Noise, Realized Variance, and Optimal Sampling

zbMATH Keywords

fractional Brownian motionstochastic volatilitymarket microstructurefinancial econometricsinference for stochastic processescontinuous time finance

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

Cites Work

• Asymptotic properties of realized power variations and related functionals of semimartingales
• Microstructure noise in the continuous case: the pre-averaging approach
• Efficient estimation of stochastic volatility using noisy observations: a multi-scale approach
• Microstructure Noise, Realized Variance, and Optimal Sampling
• Econometric Analysis of Realized Volatility and its Use in Estimating Stochastic Volatility Models
• A Tale of Two Time Scales
• Testing for jumps in a discretely observed process
• Asymptotic error distributions for the Euler method for stochastic differential equations
• Diffusions with measurement errors. I. Local Asymptotic Normality
• Are volatility estimators robust with respect to modeling assumptions?
• Bootstrapping Realized Volatility
• A central limit theorem for normalized functions of the increments of a diffusion process, in the presence of round-off errors
• Integrated volatility and round-off error
• First order \(p\)-variations and Besov spaces

Cited In (12)

• Inference for time-varying lead-lag relationships from ultra-high-frequency data
• Modelling microstructure noise with mutually exciting point processes
• Some limit theorems for Hawkes processes and application to financial statistics
• Measuring the relevance of the microstructure noise in financial data
• Volatility is rough
• Volatility and covariation estimation when microstructure noise and trading times are endogenous
• Study of some problems of statistical estimation in finance.
• Estimation of the lead-lag parameter from non-synchronous data
• Characterization of nonlinear Besov spaces
• Testing the type of a semi-martingale: Itō against multifractal
• Statistical Properties of Microstructure Noise
• Forecasting the elasticity of variance with LSTM recurrent neural networks

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