Statistical Properties of Microstructure Noise | Zendy

Jacod Jean | Zendy; Li Yingying | Zendy; Zheng Xinghua | Zendy

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Statistical Properties of Microstructure Noise

Author(s) -

Jacod Jean,

Li Yingying,

Zheng Xinghua

Publication year - 2017

Publication title -

econometrica

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 16.7

H-Index - 199

eISSN - 1468-0262

pISSN - 0012-9682

DOI - 10.3982/ecta13085

Subject(s) - estimator , nonparametric statistics , noise (video) , central limit theorem , consistency (knowledge bases) , econometrics , rounding , mathematics , limit (mathematics) , joint (building) , statistical physics , market microstructure , statistics , computer science , mathematical analysis , economics , physics , engineering , artificial intelligence , image (mathematics) , architectural engineering , geometry , finance , order (exchange) , operating system

We study the estimation of (joint) moments of microstructure noise based on high frequency data. The estimation is conducted under a nonparametric setting, which allows the underlying price process to have jumps, the observation times to be irregularly spaced, and the noise to be dependent on the price process and to have diurnal features. Estimators of arbitrary orders of (joint) moments are provided, for which we establish consistency as well as central limit theorems. In particular, we provide estimators of autocovariances and autocorrelations of the noise. Simulation studies demonstrate excellent performance of our estimators in the presence of jumps, irregular observation times, and even rounding. Empirical studies reveal (moderate) positive autocorrelations of microstructure noise for the stocks tested.

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