The estimation of the volatility with high-frequency data is plagued by the presence of microstructure noise, which … integrated volatility but also of the spot volatility; (iii) we show the relevance of the estimator in the prediction of the … variance of the cost of a simulated VWAP execution. Overall we find that, for the integrated volatility, the pre …

We evaluate the informational content of the open limit order book by studying its role in explaining the volatility of … the efficient price. We separate transitory (liquidity-driven) volatility from informational (efficient price …-related) volatility using a dynamic state-space co-integration model for ask and bid quotes. Consistently with Foucault, Moinas, and …