Therefore, how to estimate volatility of asset equilibrium price considering jump and market microstructure noise has important theoretical and applied value.
因此，在存在跳跃和市场噪音的条件下如何准确衡量资产均衡价格的波动性具有重要的理论和应用价值。
The importance for estimation of asset equilibrium price volatility considering market microstructure noise is analyzed from the perspective of asset allocation.
从投资者资产配置的角度探讨了市场微观结构噪音条件下资产均衡价格波动率估计的重要性。
The characteristics of microstructure noise in Chinese stock market are investigated by using tick-by-tick data of Shanghai stock market.
利用上海市场的分笔交易数据考察中国市场上微观结构噪音的特征。
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