dynamics. Our main goal is to investigate whether high-frequency trading exacerbates market volatility and generates flash … that the presence of high-frequency trading increases market volatility and plays a fundamental role in the generation of …

long memory completely disappears. -- Volatility clustering ; Autocorrelations of returns ; Fundamentalists and …

return volatility estimation. In particular, we use market microstructure theory to derive the cross-correlation function … informed conjectures as to improved volatility estimation methods. -- Realized Volatility ; Market Microstructure Theory ; High … between latent returns and market microstructure noise, which feature prominently in the recent volatility literature. The …