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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 :



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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 '14 at 17:36

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