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Market Microstructures

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Preview of High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data.
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High Frequency Covariance Estimates with Noisy and Asynchronous Financial Data. (HighFreqVol.pdf)

416 KBYacine Aït-Sahalia, Jianqing Fan, Dacheng XiuEN 14 pages
This article proposes a consistent and efficient estimator of high-frequency covariance of two assets observed asynchronously with market microstructure noise,
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Preview of Download paper
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Download paper (DanielssonLove2006.pdf)

312 KBEN 50 pages
Feedback trading occurs when order flow and asset returns impact each other simultaneously, causing traditional estimation techniques to be ineffective.
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