How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
证明存在市场微观结构噪声时，最优采样频率是有限的并给出闭式解，但指出即使最优采样也会丢弃大量数据，建议直接对噪声建模并使用全部数据，结论是采样越频繁越好。
In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal sampling frequency is finite and derives its closed-form expression. But even with optimal sampling, using say 5-min returns when transactions are recorded every second, a vast amount of data is discarded, in contradiction to basic statistical principles. We demonstrate that modeling the noise and using all the data is a better solution, even if one misspecifies the noise distribution. So the answer is: sample as often as possible. Copyright 2005, Oxford University Press.