Why does idiosyncratic noise exist in the first place? What causes the idiosyncracies? Is there any academic research on idiosyncratic noise signatures in high frequency data (of any type) that you would recommend? I'm open to your suggestions. Background: I use a model based on ideas derived from statistical physics to trade FX and other futures on an intraday basis. The only inputs to the model are price and bar count. I'm refering to idiosyncratic noise, not signal. That is, I've detrended the data series so that all that is remaining is a noise residual. I believe that I'm finding that FX pairs (and other futures instruments) can have unique and persistent high-frequency noise signatures.