Quantitative Finance Stack Exchange is a question and answer site for finance professionals and academics. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

I am currently analyzing a statistic that I believe will have the effect of hedgers having a positive or negative gamma position in certain stocks. In the case where I believe hedgers have positive gamma, I expect mean-reversion to be exhibited, and pressure to be exhibited on realized volatility. In the case of negative gamma, I expect trends to be exacerbated -- and realized volatility to rise.

To analyze this effect intraday, I'm calculating the sqrt( sum( 5-min log returns) ) ). I believe this represents the realized volatility, but I'm not sure what statistic I can use to analyze the trending effect throughout the day. Any suggestions?

Thank you!

share|improve this question
Maybe try a high-frequency hurst exponent test? – experquisite Aug 18 '14 at 22:59

Your Answer


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

Browse other questions tagged or ask your own question.