Disentangling Sources of High Frequency Market Microstructure Noise
Disentangling Sources of High Frequency Market Microstructure Noise
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DOI：
10.2139/ssrn.3167014
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发表时间：
2018-04
影响因子：
3
通讯作者：
Simon Clinet;Yoann Potiron
中科院分区：
文献类型：
--
作者：
Simon Clinet;Yoann Potiron
摘要通过对金融经济学文献中几个主要模型的逐点最大似然估计，我们发现市场微观结构噪声主要可以用一个线性模型来解释，在这个线性模型中，交易方向，即交易是由买方还是卖方发起的，乘以动态报价买卖价差。虽然合理稳定的日内，这个模型体现了跨天和股票的变化。在标的股票的不同可观察高频金融特征中，这种变异性最好用tick-to-spread比率来解释，这意味着离散性是第一个剩余噪声源。我们确定买卖反弹效应作为下一个噪声源。
Abstract Employing tick-by-tick maximum likelihood estimation on several leading models from the financial economics literature, we find that the market microstructure noise is mostly explained by a linear model where the trade direction, that is, whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted bid-ask spread. Although reasonably stable intraday, this model manifests variability across days and stocks. Among different observable high frequency financial characteristics of the underlying stocks, this variability is best explained by the tick-to-spread ratio, implying that discreteness is the first residual source of noise. We determine the bid-ask bounce effect as the next source of noise.