Non-Microstructure Noise

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

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Year of publication:	2020
Authors:	Chakravarty, Ranjan R.
Other Persons:	Pani, Sudhanshu Sekhar (contributor)
Publisher:	[2020]: [S.l.] : SSRN
Subject:	Lärm \| Noise \| Noise Trading \| Noise trading \| Theorie \| Theory \| Informationsökonomik \| Economics of information \| Lärmschutz \| Noise abatement \| Finanzmarkt \| Financial market

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Extent:	1 Online-Ressource (43 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 29, 2018 erstellt
Other identifiers:	10.2139/ssrn.3222147 [DOI]
Classification:	C01 - Econometrics ; C32 - Time-Series Models ; G1 - General Financial Markets
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012851745