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英文标题：
《Testing if the market microstructure noise is fully explained by the
informational content of some variables from the limit order book》
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作者：
Simon Clinet and Yoann Potiron
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最新提交年份：
2019
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英文摘要：
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.
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中文摘要：
在本文中，我们建立了一个模型，其中市场微观结构噪声是限价指令簿中一些变量的已知参数函数，从而检验是否存在剩余噪声。测试比较了两种不同的波动率准最大似然估计量，其中相关模型是否在市场微观结构噪声中包含残余噪声。在一般非参数框架下研究了极限理论。在存在残余噪声的情况下，我们研究了相关拟极大似然估计方法的中心极限理论。
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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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