Disentangling Sources of High Frequency Market Microstructure Noise

Simon Clinet, Yoann Potiron

研究成果: Article査読

1 被引用数 (Scopus)

抄録

Employing tick-by-tick maximum likelihood estimation on several leading models from the financial economics literature, we find that the market microstructure noise is mostly explained by a linear model where the trade direction, that is, whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted bid-ask spread. Although reasonably stable intraday, this model manifests variability across days and stocks. Among different observable high frequency financial characteristics of the underlying stocks, this variability is best explained by the tick-to-spread ratio, implying that discreteness is the first residual source of noise. We determine the bid-ask bounce effect as the next source of noise.

本文言語English
ページ(範囲)18-39
ページ数22
ジャーナルJournal of Business and Economic Statistics
39
1
DOI
出版ステータスPublished - 2021

ASJC Scopus subject areas

  • 統計学および確率
  • 社会科学(その他)
  • 経済学、計量経済学
  • 統計学、確率および不確実性

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