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microstructure-noise

Here are 2 public repositories matching this topic...

lcsrodriguez / HFT-IntradayVol-Estimation

Intraday volatility estimation using High-Frequency Financial Data

python data-analysis q hft realized-volatility hft-data microstructure-noise

Updated Apr 1, 2023
Jupyter Notebook

merrickli / minimac

Compute the testing statistics proposed by Li and Yang (2025)

market-efficiency high-frequency-data microstructure-noise return-reversal semimartingale

Updated Oct 1, 2025
Python

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