Microstructure Noise and Realized Variance in the Live Cattle Futures Market
研究了2011至2016年美国活牛期货市场中微观结构噪声对有效价格方差测量的影响，发现噪声影响不大且持续时间短，高频交易并非近期价格方差上升的主因。
Abstract Recently, U.S. live cattle futures prices have experienced high levels of intraday price variance, which have raised concerns about the possible impact of microstructure noise from high frequency trading on market instability. This article identifies both the magnitude and the duration of the bias caused by market microstructure noise in measuring efficient price variance in the live cattle futures market from 2011 to 2016, with emphasis on price variance behavior in recent years. Market microstructure noise increases observed price variance, but its effects are not large and do not last more than three to four minutes in response to changing information. Intraday price variance has increased in recent years, but the findings provide little evidence that high frequency traders were responsible for economically meaningful market noise. Informatively, steps taken by the CME and cattle producers to mitigate noise have not been fruitful to date, and signal that the magnitude of noise will likely vary with the magnitude of changes in demand and cyclical supply.