RePEcTrading, Microstructure & Execution
Filtering without Recursion and Some of Its Uses in Financial Economics
A new parallel filter removes price microstructure noise from high-frequency trade data without bias, producing flat volatility signatures down to one-second frequencies.
Featured in No. 136 on 23 Oct 2026 · 13 days after release
- Released
- 10 Oct 2026
- First featured
- No. 136 · 23 Oct 2026
- Published in
- Not yet, as far as Semantic Scholar knows
- Fanfare
- 2 of 5
- Identifier
- RePEc:tin:wpaper:20260068
- Authors
- Simon Donker van Heel and Neil Shephard
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).