Microstructure Noise is the high-frequency observational error inherent in financial time series data, arising from the trading mechanisms and market frictions that distort the true efficient price process.
273
Publications
23.9K
Citations
395
Authors
314
Institutions
Publications per year
2017–2026
33
Variants
Market Microstructure Noise
Publications
273
MIDAS Regressions: Further Results and New Directions
Éric Ghysels, Arthur Sinko, Rossen Valkanov · Econometric Reviews · 2007 · 1K citations
The Relative Contribution of Jumps to Total Price Variance
Xin Huang · Journal of Financial Econometrics · 2005 · 857 citations
A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
Anat R. Admati · Econometrica · 1985 · 828 citations
1–5 of 273
Authors
395
- YA
14
h-index
- PA
12
h-index
- FM
10
h-index
- AL
9
h-index
- RC
8
h-index
1–5 of 395
Institutions
314
University of Chicago
Chicago, United States
18 h-index
28 publications
6.3K citations
Princeton University
Princeton, United States
15 h-index
21 publications
2.7K citations
Aarhus University
Aarhus, Denmark
13 h-index
21 publications
1.7K citations
National Bureau of Economic Research
Cambridge, United States
12 h-index
20 publications
3.1K citations
University of Illinois Chicago
Chicago, United States
10 h-index
13 publications
2K citations
University of Hong Kong
Pok Fu Lam, Hong Kong
9 h-index
14 publications
1.1K citations
London School of Economics and Political Science
London, United Kingdom
7 h-index
7 publications
177 citations
University of Florence
Florence, Italy
7 h-index
7 publications
407 citations
1–8 of 314
Venues
- SSRN Electronic Journal
Repository · 52 publications · 2.5K citations
26
h-index
- Journal of Econometrics
17 publications · 1.8K citations
16
h-index
- Journal of Business and Economic Statistics
JBES · 11 publications · 2K citations
11
h-index
- The Journal of Finance
11 publications · 1.8K citations
11
h-index
- Journal of Financial Econometrics
10 publications · 1.4K citations
10
h-index
1–5