# Estimation for high-frequency data under parametric market microstructure noise

@article{Clinet2020EstimationFH, title={Estimation for high-frequency data under parametric market microstructure noise}, author={Simon Clinet and Yoann Potiron}, journal={Annals of the Institute of Statistical Mathematics}, year={2020} }

We develop a general class of noise-robust estimators based on the existing estimators in the non-noisy high-frequency data literature. The microstructure noise is a parametric function of the limit order book. The noise-robust estimators are constructed as plug-in versions of their counterparts, where we replace the efficient price, which is non-observable, by an estimator based on the raw price and limit order book data. We show that the technology can be applied to five leading examples…

## 11 Citations

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