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

This question already has an answer here:

I am looking for good papers of short term (<30 sec) volatility estimation AND short term volatility forecasting. Do you have something in mind ?

share|improve this question

marked as duplicate by chollida, olaker Dec 17 '14 at 1:22

This question has been asked before and already has an answer. If those answers do not fully address your question, please ask a new question.

this question is already answered here: quant.stackexchange.com/questions/2589/… (see my answer) – lehalle Oct 27 '13 at 8:57

Very interesting question. I am not an expert on the subject, however, I was able to find a collection of papers on the subject that should get you started.

Here is a good and very informative paper that walks you through several tick by tick volatility estimators that seek to reduce the volatility imposed by market micro-structure:

Efficient estimation of volatility using high frequency data G Zumbach, F Corsi, A Trapletti

Here is one of the first papers on the subject:

High-frequency data and volatility in foreign-exchange rates B Zhou - Journal of Business & Economic Statistics, 1996

Analysis of market micro-structure noise here:

Realized variance and market microstructure noise PR Hansen, A Lunde - Journal of Business & Economic Statistics, 2006

Another article proposing sub-sampling techniques: A tale of two time scales L Zhang, PA Mykland, 2005

Generally, there is a wealth of papers on the subject of short term volatility estimation. You can take a look at this list of papers citing Zhou's original paper to find relevant research.

Short term volatility forecasting is another very interesting subject. If you get good volatility estimates, you should be able to use standard techniques for forecasting.

Here is one paper:

Forecasting volatility using tick by tick data, RF Engle, Z Sun - 2005

share|improve this answer

Not the answer you're looking for? Browse other questions tagged or ask your own question.