Non-Microstructure Noise
| Autor: | Ranjan R. Chakravarty, Sudhanshu Sekhar Pani |
|---|---|
| Rok vydání: | 2018 |
| Předmět: | |
| Zdroj: | SSRN Electronic Journal. |
| ISSN: | 1556-5068 |
| DOI: | 10.2139/ssrn.3222147 |
| Popis: | High resolution Ultra High Frequency (UHF) quotes and trades are examined to detect patterns which do not correspond to plausible market activity as in Brownlees and Gallo (2006). Non-microstructure noise is identified as a process. Methods of treatment are evaluated. A resultant paradigm of data handling is presented. Empirical evidence from a sample of NASDAQ stocks demonstrates that the removal of non-microstructure noise from the limit order book significantly improves estimation across techniques and all levels of market depth. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|