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...

Information aggregation in high frequency continuous auctions is investigated. It is proposed that information resides within the price formation mechanism in these markets. The public signal of the asset price is seen to be a part of the price system. Information aggregates into the public...