Microstructure noise is the difference between an observed price and the efficient price, created by the trading process: the spread, the price grid, the discreteness and staleness of quotes. The bid–ask bounce is its best-known form: successive trades at the bid and at the ask make observed returns alternate in sign when the efficient price has not moved.
Quantitative Finance · Glossaire
Qu'est-ce que « Microstructure noise, bid–ask bounce » ?
Aussi appelé : microstructure noise · bid--ask bounce