Introduction (Available as Jupyter notebook at https://github.com/mschauer/MicrostructureNoise.jl/blob/master/example/MicrostructureNoise.ipynb)
MicrostructureNoise is a Julia package for Bayesian volatility estimation in presence of market microstructure noise implementing the methodology described in our new preprint:
Shota Gugushvili, Frank van der Meulen, Moritz Schauer, and Peter Spreij: Nonparametric Bayesian volatility learning under microstructure noise. arxiv:1805.05606, 2018. This blogpost gives a short introduction.
Description MicrostructureNoise estimates the volatility function $s$ of the stochastic differential equation