Noise is essential for the existence of a liquid market, and if noise traders are not present in the market, the trade volume will drop severely and an important aspect of the market philosophy will be lost. However, these noise traders bring noise to the market, and the existence of noise in prices indicates a temporary deviation in prices from their fundamental values. In particular, high-fre...

The notion of realized volatility as a model-free measurement of the quadratic variation of the underlying log price process loses its asymptotic validity in the presence of market microstructure noise. Should microstructure contaminations be present, the summing of an increasing number of squared return data (as in the definition of the realized volatility estimator) simply entails increasing ...

Volatility is the primary measure of risk in modern finance and volatility estimation and inference has attracted substantial attention in the recent financial econometric literature, especially in high-frequency analyses. High-frequency prices carry a significant amount of noise. Therefore, there are two volatility components embedded in the returns constructed using high frequency prices: the...

It is a well known fact that at high sampling frequencies, the contamination of microstructure noise causes the Realized Variance to be a biased measure of the Integrated Variance. Recent developments in this field propose sampling on lower frequencies, sub-sampling techniques, or bias corrections using the autocorrelation patterns in the data. In this paper we propose a structural decompositio...

It is a well known fact that at high sampling frequencies, the contamination of microstructure noise causes the Realized Variance to be a biased measure of the Integrated Variance. Recent developments in this field propose sampling on lower frequencies, sub-sampling techniques, or bias corrections using the autocorrelation patterns in the data. In this paper we propose a structural decompositio...

Mechanical and heat treatment affects microstructure, hardness, and residual stresses in the surface layer. Micromagnetic examination of the material can determine the correlation between the changes in microstructure or hardness and permeability and electrical conductivity of the material. With a defined analysis frequency fa and by monitoring the Barkhausen noise variations, the depth propert...

We study market microstructure noise in high-frequency data and analyze its implications for the realized variance (RV) under a general specification for the noise. We show that kernel-based estimators can unearth important characteristics of market microstructure noise and that a simple kernel-based estimator dominates the RV for the estimation of integrated variance (IV). An empirical analysi...

We study the estimation of moments and joint moments of microstructure noise. Estimators of arbitrary order of (joint) moments are provided, for which we establish consistency as well as central limit theorems. In particular, we provide estimators of auto-covariances and auto-correlations of the noise. Simulation studies demonstrate excellent performance of our estimators even in the presence o...

There are two variance components embedded in the returns constructed using high-frequency asset prices: the time-varying variance of the unobservable efficient returns that would prevail in a frictionless economy and the variance of the equally unobservable microstructure noise. Using sample moments of high-frequency return data recorded at different frequencies, we provide a simple and robust...

The aim of this study is to develop a bias-correction method for realized variance (RV) estimation, where the equilibrium price process is contaminated with market microstructure noise, such as bid-ask bounces and price changes discreteness. Though RV constitutes the simplest estimator of daily integrated variance, it remains strongly biased and many estimators proposed in previous studies requ...