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.

中文翻译：

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参数化市场微观结构噪声下的高频数据估计

我们基于非噪声高频数据文献中的现有估计器开发了一类通用的噪声鲁棒估计器。微观结构噪声是限价订单簿的参数函数。噪声稳健估计器被构建为其对应物的插件版本，其中我们用基于原始价格和限价订单簿数据的估计器替换不可观察的有效价格。我们表明该技术可以应用于五个主要示例，其中，根据问题，价格可能包括无限跳跃活动，采样时间包括异步性和内生性。