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Analysing the market microstructure noise : a nonparametric approach /

Given the rapid development of high-frequency trading strategies in the last two decades, various methods have been proposed for studying return volatility based on high-frequency financial data. However, high-frequency financial data are heavily contaminated by the market microstructure noise compo...

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Bibliographic Details
Main Author:	Cui, Wenhao (Author)
Format:	eBook
Language:	English
Published:	London : SAGE Publications Ltd, 2025.
Series:	SAGE research methods. Cases
Subjects:	Research > Methodology > Case studies. Finance > Data processing > Case studies. Recherche > Méthodologie > Études de cas. Finances > Informatique > Études de cas. Electronic books.
Online Access:	Connect to the full text of this electronic book

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