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Microstructure Noise and Realized Variance in the Live Cattle Futures Market
Anabelle Couleau
,
Teresa Serra
, Philip Garcia
Agricultural and Consumer Economics
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peer-review
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Keyphrases
Microstructure Noise
100%
Noise Variance
100%
Futures Markets
100%
Live Cattle
100%
Price Variance
100%
Realized Variance
100%
Market Microstructure Noise
40%
Intraday Prices
40%
Magnitude of Change
20%
Futures Prices
20%
High-frequency Traders
20%
Cattle Farmers
20%
High-frequency Trading
20%
Change Information
20%
Efficient Price
20%
Market Instability
20%
Economics, Econometrics and Finance
Price
100%
Futures Market
100%
Market Microstructure
33%