Take the 2-minute tour ×
Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. It's 100% free, no registration required.

I have read on several news articles and research papers, "Contrary to popular belief, high frequency trading reduces volatility in stock markets rather than exacerbates it".

Do you know the models that are used by these studies for the volatility measurement, given now there is so much noise in tick data.

Some reference links I found online :

http://public.econ.duke.edu/~get/browse/courses/201/spr11/DOWNLOADS/VolatilityMeasures/SpecificlPapers/hansen_lunde_forecasting_rv_11.pdf

http://mitsloan.mit.edu/groups/template/pdf/Zhang.pdf

share|improve this question
    
The key thing is to filter out irrelevant trades using their trade condition codes, and then handle the bid/ask bounce perhaps by marking at the mid price just smoothing it out. quant.stackexchange.com/questions/11484/… I am also hoping that amazon.com/… will cover these techniques, though I haven't gotten around to reading it yet. –  experquisite Aug 2 at 17:36

Your Answer

 
discard

By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.