Price Discovery and Market Microstructure Noise

2021 ◽  
Author(s):  
Gustavo Fruet Dias ◽  
Marcelo Fernandes ◽  
Cristina Mabel Scherrer
Keyword(s):  
Market Microstructure ◽  
Price Discovery ◽  
Microstructure Noise ◽  
Market Microstructure Noise

scholarly journals Realized Variance and Market Microstructure Noise

2005 ◽  
Author(s):  
Peter Reinhard Hansen ◽  
Asger Lunde
Keyword(s):  
Market Microstructure ◽  
Microstructure Noise ◽  
Realized Variance ◽  
Market Microstructure Noise

Jumps in equilibrium prices and market microstructure noise

2012 ◽  
Vol 168 (2) ◽  
pp. 396-406 ◽  
Author(s):  
Suzanne S. Lee ◽  
Per A. Mykland
Keyword(s):  
Market Microstructure ◽  
Microstructure Noise ◽  
Market Microstructure Noise ◽  
Equilibrium Prices

scholarly journals How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise

2006 ◽  
pp. 3-72 ◽  
Author(s):  
Yacine Aït-Sahalia ◽  
Per A. Mykland ◽  
Lan Zhang
Keyword(s):  
Market Microstructure ◽  
Continuous Time ◽  
Time Process ◽  
Microstructure Noise ◽  
Market Microstructure Noise ◽  
Continuous Time Process

scholarly journals Bias-Correcting the Realized Range-Based Variance in the Presence of Market Microstructure Noise

2008 ◽  
Author(s):  
Kim Christensen ◽  
Mark Podolskij ◽  
Mathias Vetter
Keyword(s):  
Market Microstructure ◽  
Microstructure Noise ◽  
Market Microstructure Noise

Disentangling Sources of High Frequency Market Microstructure Noise

2019 ◽  
Vol 39 (1) ◽  
pp. 18-39 ◽  
Author(s):  
Simon Clinet ◽  
Yoann Potiron
Keyword(s):  
Market Microstructure ◽  
High Frequency ◽  
Microstructure Noise ◽  
Market Microstructure Noise
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