英文标题：
《Model-Free Approaches to Discern Non-Stationary Microstructure Noise and
Time-Varying Liquidity in High-Frequency Data》
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作者：
Richard Y. Chen, Per A. Mykland
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最新提交年份：
2018
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英文摘要：
In this paper, we provide non-parametric statistical tools to test stationarity of microstructure noise in general hidden Ito semimartingales, and discuss how to measure liquidity risk using high frequency financial data. In particular, we investigate the impact of non-stationary microstructure noise on some volatility estimators, and design three complementary tests by exploiting edge effects, information aggregation of local estimates and high-frequency asymptotic approximation. The asymptotic distributions of these tests are available under both stationary and non-stationary assumptions, thereby enable us to conservatively control type-I errors and meanwhile ensure the proposed tests enjoy the asymptotically optimal statistical power. Besides it also enables us to empirically measure aggregate liquidity risks by these test statistics. As byproducts, functional dependence and endogenous microstructure noise are briefly discussed. Simulation with a realistic configuration corroborates our theoretical results, and our empirical study indicates the prevalence of non-stationary microstructure noise in New York Stock Exchange.
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中文摘要：
在本文中，我们提供了非参数统计工具来测试一般隐藏Ito半鞅中微观结构噪声的平稳性，并讨论了如何使用高频金融数据来度量流动性风险。特别是，我们研究了非平稳微观结构噪声对一些波动率估计量的影响，并利用边缘效应、局部估计的信息聚合和高频渐近近似设计了三个互补检验。这些检验的渐近分布在平稳和非平稳假设下都可用，从而使我们能够保守地控制I型误差，同时确保所提出的检验具有渐近最优的统计功效。此外，它还使我们能够通过这些测试统计数据对总流动性风险进行实证衡量。作为副产品，简要讨论了功能依赖性和内生微观结构噪声。真实结构的模拟验证了我们的理论结果，我们的实证研究表明纽约证券交易所存在非平稳微观结构噪声。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Statistical Finance 统计金融
分类描述：Statistical, econometric and econophysics analyses with applications to financial markets and economic data
统计、计量经济学和经济物理学分析及其在金融市场和经济数据中的应用
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一级分类：Mathematics 数学
二级分类：Statistics Theory 统计理论
分类描述：Applied, computational and theoretical statistics: e.g. statistical inference, regression, time series, multivariate analysis, data analysis, Markov chain Monte Carlo, design of experiments, case studies
应用统计、计算统计和理论统计：例如统计推断、回归、时间序列、多元分析、数据分析、马尔可夫链蒙特卡罗、实验设计、案例研究
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一级分类：Statistics 统计学
二级分类：Methodology 方法论
分类描述：Design, Surveys, Model Selection, Multiple Testing, Multivariate Methods, Signal and Image Processing, Time Series, Smoothing, Spatial Statistics, Survival Analysis, Nonparametric and Semiparametric Methods
设计，调查，模型选择，多重检验，多元方法，信号和图像处理，时间序列，平滑，空间统计，生存分析，非参数和半参数方法
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一级分类：Statistics 统计学
二级分类：Statistics Theory 统计理论
分类描述：stat.TH is an alias for math.ST. Asymptotics, Bayesian Inference, Decision Theory, Estimation, Foundations, Inference, Testing.
Stat.Th是Math.St的别名。渐近，贝叶斯推论，决策理论，估计，基础，推论，检验。
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