Estimating Realized Variance and True Prices from High-Frequency Data with Microstructure Noise
博士 === 國立臺灣大學 === 資訊工程學研究所 === 104 === The market prices and the continuous quadratic variation play critical roles in high-frequency trading. However, the microstructure noise could make the observed prices differ from the true prices and hence bias the estimates of continuous quadratic variation....
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| Format: | Others |
| Language: | en_US |
| Published: |
2016
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| Online Access: | http://ndltd.ncl.edu.tw/handle/07329595626980843759 |