How often to sample a continuous-time process in the presence of market microstructure noise

• 成果类型: Article
• 署名作者: Aït-Sahalia, Y; Mykland, PA; Zhang, L
• 署名单位: Princeton University; National Bureau of Economic Research; University of Chicago; Carnegie Mellon University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhi016
• 发表日期: 2005
• 页码: 351
• 关键词: BID-ASK SPREAD; maximum-likelihood-estimation; ORDER MOVING AVERAGE; STATISTICAL PROPERTIES; econometric-analysis; realized volatility; CLOSED-FORM; models; components; prices

摘要

In theory, the sum of squares of log returns sampled at high frequency estimates their variance. When market microstructure noise is present but unaccounted for, however, we show that the optimal sampling frequency is Finite and derives its closed-form expression. But even with optimal sampling, using say 5-min returns when transactions are recorded every second, a vast amount of data is discarded, in contradiction to basic statistical principles. We demonstrate that modeling the noise and using all the data is a better solution, even if one misspecifies the noise distribution. So the answer is: sample as often as possible.