Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book

Simon Clinet and Yoann Potiron

Papers from arXiv.org

Abstract: In this paper, we build tests for the presence of residual noise in a model where the market microstructure noise is a known parametric function of some variables from the limit order book. The tests compare two distinct quasi-maximum likelihood estimators of volatility, where the related model includes a residual noise in the market microstructure noise or not. The limit theory is investigated in a general nonparametric framework. In the presence of residual noise, we examine the central limit theory of the related quasi-maximum likelihood estimation approach.

Date: 2017-09, Revised 2019-02
New Economics Papers: this item is included in nep-ecm and nep-mst
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Citations: View citations in EconPapers (8)

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Journal Article: Testing if the market microstructure noise is fully explained by the informational content of some variables from the limit order book (2019)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1709.02502

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