Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit order book. The tests compare two distinct quasi-maximum likelihood estimators of volatility, where the related model incl...

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Bibliographische Detailangaben

Hauptverfasser:	Clinet, Simon, Potiron, Yoann
Format:	Artikel
Sprache:	eng
Schlagworte:	Quantitative Finance - Statistical Finance
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