Discerning Non-Stationary Market Microstructure Noise and Time-Varying Liquidity in High Frequency Data

2015 ◽  
Author(s):  
Richard Yongrui Chen ◽  
Per A. Mykland
Keyword(s):  
Market Microstructure ◽  
High Frequency ◽  
High Frequency Data ◽  
Time Varying ◽  
Frequency Data ◽  
Microstructure Noise ◽  
Market Microstructure Noise

scholarly journals Inference for time-varying lead–lag relationships from ultra-high-frequency data

2021 ◽  
Author(s):  
Yuta Koike
Keyword(s):  
Financial Markets ◽  
High Frequency ◽  
High Frequency Data ◽  
Time Varying ◽  
Frequency Data ◽  
Statistical Methodology ◽  
Microstructure Noise ◽  
New Approach ◽  
Proposed Model ◽  
Derivative Products

AbstractA new approach for modeling lead–lag relationships in high-frequency financial markets is proposed. The model accommodates non-synchronous trading and market microstructure noise as well as intraday variations of lead–lag relationships, which are essential for empirical applications. A simple statistical methodology for analyzing the proposed model is presented, as well. The methodology is illustrated by an empirical study to detect lead–lag relationships between the S&P 500 index and its two derivative products.

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