Disentangling Sources of High Frequency Market Microstructure Noise
使用逐笔最大似然估计，发现市场微观结构噪声主要由交易方向与动态买卖价差的乘积解释，而离散性（tick-to-spread比率）是首要残余噪声源，买卖价差反弹效应是次要来源。
Employing tick-by-tick maximum likelihood estimation on several leading models from the financial economics literature, we find that the market microstructure noise is mostly explained by a linear model where the trade direction, that is, whether the trade is buyer or seller initiated, is multiplied by the dynamic quoted bid-ask spread. Although reasonably stable intraday, this model manifests variability across days and stocks. Among different observable high frequency financial characteristics of the underlying stocks, this variability is best explained by the tick-to-spread ratio, implying that discreteness is the first residual source of noise. We determine the bid-ask bounce effect as the next source of noise.