Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Estimation for high-frequency data under parametric market
  microstructure noise   We develop a general class of noise-robust estimators based on the existing
estimators in the non-noisy high-frequency data literature. The microstructure
noise is a parametric function of the limit order book. The noise-robust
estimators are constructed as plug-in versions of their counterparts, where we
replace the efficient price, which is non-observable, by an estimator based on
the raw price and limit order book data. We show that the technology can be
applied to five leading examples where, depending on the problem, price
possibly includes infinite jump activity and sampling times encompass
asynchronicity and endogeneity.

33
The categories of this paper are: plasm-ph
11
The categories of this paper are: hep-lat
23
The categories of this paper are: solv-int
24
The categories of this paper are: dg-ga
3
The categories of this paper are: physics
22
The categories of this paper are: chao-dyn
21
The categories of this paper are: adap-org
32
The categories of this paper are: atom-ph
27
The categories of this paper are: comp-gas
30
The categories of this paper are: q-alg
26
The categories of this paper are: bayes-an
1
The categories of this paper are: cs
10
The categories of this paper are: q-bio
36
The categories of this paper are: cmp-lg
7
The categories of this paper are: hep-th
13
The categories of this paper are: quant-ph