Which Daily Price is Less Noisy?
比较了成交量加权平均价（VWAP）与收盘价对无摩擦市场下有效价格的估计噪音，发现VWAP噪音更小，且收盘价噪音会低估贝塔风险与夏普比率，影响衍生品定价。
The daily efficient price is the price that would prevail if the market were frictionless. I show that volume‐weighted average price (VWAP) provides a less noisy estimate for the unobservable efficient price as compared to the closing price. The variance of daily returns computed with VWAPs is smaller than that computed with closing prices. The difference between these two realized variances is economically significant. The volatility of log closing price change tends to understate the beta risk and Sharpe ratio. A higher noise level in the closing price leads to derivative prices that favor option and volatility‐related swap writers.