Evidence of Microstructure Variables’ Nonlinear Dynamics from Noised High-Frequency Data

Abstract

Research of nonlinear dynamics of finance series has been widely dis-cussed in literature since the 1980s with chaos theory as the theoretical background. Chaos methods have been applied to the S&P 500 stock index, stock returns from the UK and American markets, and portfolio returns. This work reviews modern methods as indicators of nonlinear stochastic behavior and also shows some empirical results for MICEX stock market high-frequency microstructure variables such as stock price and return, price change, spread and relative spread. It also implements recently developed recurrence quantification analysis approaches to visualize patterns and dependency in microstructure data.