Parametric Estimates of High Frequency Market Microstructure Noise as an Unsystematic Risk

Jalal Seifoddini, Fraydoon Rahnamay Roodposhti and Hashem Nikoomaram
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Jalal Seifoddini: Islamic Azad University, Science And Research Branch
Fraydoon Rahnamay Roodposhti: Islamic Azad University, Science And Research Branch
Hashem Nikoomaram: Islamic Azad University, Science And Research Branch

Journal of Money and Economy, 2015, vol. 10, issue 4, 29-50

Abstract: 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

Date: 2015
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