Estimation Bias Induced by Discrete Security Prices
研究证券价格因四舍五入成离散值而导致的统计偏差，给出方差和峰度膨胀的简单估计，并开发了基于四舍五入价格的最大似然波动率估计量，通过模拟分析其小样本性质。
Commonly, equilibrium security prices are modeled by continuous-state stochastic processes, while observed prices are rounded into discrete units. This paper models the rounding mechanism and examines the probabilistic structure of the resultant rounded process. We provide accurate and simple estimates of the inflation in estimated variance and kurtosis induced by ignoring rounding. In particular, the maximum-likelihood estimate of security price volatility using rounded prices is developed, and a simulation analysis is performed to examine the small-sample properties of this estimator. For many practical applications, a simple correction for rounding becomes available.