When Frictions Are Fractional: Rough Noise in High-Frequency Data
研究了高频金融数据中粗糙噪声的建模与估计，提出噪声粗糙度参数和波动率的一致估计方法，有助于理解不同资产和时段的波动率特征。
The analysis of high-frequency financial data is often impeded by the presence of noise. This article is motivated by intraday return data in which market microstructure noise appears to be rough, that is, best captured by a continuous-time stochastic process that locally behaves as fractional Brownian motion. Assuming that the underlying efficient price process follows a continuous Itô semimartingale, we derive consistent estimators and asymptotic confidence intervals for the roughness parameter of the noise and the integrated price and noise volatilities, in all cases where these quantities are identifiable. In addition to desirable features such as serial dependence of increments, compatibility between different sampling frequencies and diurnal effects, the rough noise model can further explain divergence rates in volatility signature plots that vary considerably over time and between assets.