Capital Market Microstructure and Regulation
Classification of Market Microstructure Models
Estimation and Testing for Dependence in Market Microstructure Noise
Online Spot Volatility-Estimation and Decomposition with Nonlinear Market Microstructure Noise Models
A State Space Approach to Estimating the Integrated Variance under the Existence of Market Microstructure Noise
How Often to Sample a Continuous-Time Process in the Presence of Market Microstructure Noise
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1 The processes by which financial instruments are traded (cf. auction; order).
2 The study of intraday trading patterns and the behaviour of financial intermediaries (cf. broker; broker-dealer; market-maker; specialist).
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