I am using minute-by-minute stock prices series constructed on transaction data. The stocks are among the most highly liquid.
I observe that the price series contain negative autocorrelation. I would like to know if the autocorrelation might be due to bid-ask bounce, but I don't have access to quotes data.
Is there an article that discusses the slowest aggregation frequency over which BA bounces is observed?
I know that there won't be a definitive answer, and that the value depends greatly on the liquidity of the stock, but there has to be some article discussing this.