Local mispricing and microstructural noise: a parametric perspective

DOI10.1016/J.JECONOM.2021.06.006OpenAlexW3186503830MaRDI QIDQ2172020

Ilya Archakov, Torben G. Andersen, Nikolaus Hautsch, Gökhan Cebiroğlu

Publication date: 14 September 2022

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2021.06.006

zbMATH Keywords

momentummarket microstructure noisevolatility estimationContrarian tradingprice reversal

Mathematics Subject Classification ID

Statistics (62-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Cites Work

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• On the Correlation Structure of Microstructure Noise: A Financial Economic Approach
• Statistical Properties of Microstructure Noise
• A Tale of Two Time Scales

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