  The basic model for high-frequency data in finance is considered, where an
efficient price process is observed under microstructure noise. It is shown
that this nonparametric model is in Le Cam's sense asymptotically equivalent to
a Gaussian shift experiment in terms of the square root of the volatility
function $\sigma$. As an application, simple rate-optimal estimators of the
volatility and efficient estimators of the integrated volatility are
constructed.
