This paper uses proprietary data to evaluate the efficacy of single-stock circuit breakers on the London Stock Exchange during July and August 2011. We exploit exogenous variation in the length of the uncrossing periods that follow a trading suspension to estimate the effect of auction length on...

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise...

This note contains the supplements to Li and Linton (2019). Section A contains extensive simulation studies. Section B presents the methodology and a detailed numerical algorithm to select the tuning parameters. Section C presents additional empirical studies. Section D contains all mathematical...

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary moments of the microstructure noise...

We introduce a new method to estimate the integrated volatility (IV) based on noisy high-frequency data. Our method employs the ReMeDI approach introduced by Li and Linton (2021a) to estimate the moments of the microstructure noise and thereby eliminate their influence, and the pre-averaging...

We introduce the Realized moMents of Disjoint Increments (ReMeDI) paradigm to measure microstructure noise (the deviation of the observed asset prices from the fundamental values caused by market imperfections). We propose consistent estimators of arbitrary finite moments of a microstructure...