A new microstructure noise index

DOI10.1080/14697680903514352MaRDI QIDQ3019507zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

continuous time financefinancial econometricsfractional Brownian motioninference for stochastic processesmarket microstructurestochastic volatility

Mathematics Subject Classification ID

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

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

Cites work

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

Cited in

(13)

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

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