{
  "abstract": "We develop a filter for time series, defined at each time $t$ as the minimizer of a discounted convex combination of observed and expected losses. The filter can be estimated by simulation to an arbitrary level of accuracy in $O(1)$ flops at each time point $t$ and can be run for all values $t=1,...,T$ in parallel. These methods are applied to robustly compute a preaveraged price process from the more than 1.5 million trades made on a single financial asset in a single day where the noise's variance is infinite. It yields a flat \"volatility signature\" plot, down to the 1 second level, so the microstructure noise no longer biases the volatility estimate. This is not true when linear methods are employed.",
  "abstract_shown": true,
  "affiliations": [],
  "article_type": null,
  "arxiv": "2609.07207",
  "author_total": 2,
  "authors": [
    {
      "name": "Simon Donker van Heel"
    },
    {
      "name": "Neil Shephard"
    }
  ],
  "bibtex": "https://research.draconitic.com/paper/fysxmkv44eera.bib",
  "cited_by": 0,
  "doi": "10.48550/arxiv.2609.07207",
  "fulltext_url": null,
  "id": "fysxmkv44eera",
  "issns": [],
  "landing_url": "https://arxiv.org/abs/2609.07207",
  "language": null,
  "licence": "LicenseRef-arXiv-nonexclusive-1.0",
  "licence_label": "arXiv licence",
  "licence_source": "article",
  "licence_url": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
  "metadata_licence": "CC0-1.0",
  "native_subjects": [
    [
      "arxiv",
      "econ.EM"
    ],
    [
      "arxiv",
      "q-fin.ST"
    ],
    [
      "arxiv",
      "stat.ME"
    ],
    [
      "openalex",
      "2003|Financial Risk and Volatility Modeling"
    ]
  ],
  "openalex": "W7211994937",
  "pdf_url": "https://arxiv.org/pdf/2609.07207",
  "pmcid": null,
  "pmid": null,
  "published": "2026-09-07",
  "publisher": null,
  "ris": "https://research.draconitic.com/paper/fysxmkv44eera.ris",
  "sources": [
    {
      "first_seen": "2026-10-30T12:20:07Z",
      "native_id": "2609.07207",
      "source": "arxiv",
      "url": "https://arxiv.org/abs/2609.07207"
    }
  ],
  "subjects": [
    {
      "field": "mathematics",
      "origin": "arxiv:stat.ME",
      "subfield": "statistics"
    }
  ],
  "title": "Filtering without recursion and some of its uses in financial economics",
  "title_text": "Filtering without recursion and some of its uses in financial economics",
  "type": "preprint",
  "updated_at": "2026-10-30T12:20:07Z",
  "url": "https://research.draconitic.com/paper/fysxmkv44eera",
  "venue": "arXiv",
  "versions": []
}