# Tagged Questions

High frequency (or ultra high frequency) data cannot be used as continuous regularly sampled time series to build estimators of: volatility, traded volumes, correlations, etc...

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### Aggregating Tick Data

I have Level 1 data that has already been aggregated into 0.5s buckets by the exchange. I'd like to further aggregate the data into hourly and daily buckets. I plan to do this by simply taking a ...
184 views

### Logistic Regression of tick data

I've been given some data (it's financial tick data) and I want to predict based on some observed variables whether the next move will be up, down or unchanged. So I have been trying to use ...
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### impact model what volatility to use

I am looking at the market impact paper here (http://www.cims.nyu.edu/~almgren/papers/costestim.pdf) and I had a question about volatility on page 11. On page 11 it is stated: "For volatility, we use ...
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### Realized Volatility vs. Standard deviation of log returns

I am interested in calculating high frequency 5-minute intraday volatility. I am going to use the standard Realized volatility which is the square root of the sum of squared log returns. Given X is ...
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### Calculating 6-minute, 20-minute, 45-minute, and 3-hour volatility

I am looking to measure the volatility from the open of the market until a trade takes place and use that volatility in post-trade regressions to help explain transaction costs. A simple regression ...
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### Interpreting and scaling of Realized Variance with sample data

I have some question about realized variance(RV) and I have some sample prices below to work with. You can run the R code below to build a vector of log returns. Three are 78 5-minute buckets in a ...
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### How to interpret Realized Volatility and TSRV using R

I am looking at some high frequency data and I would like to know how to interpret and compare Realized volatility (RV) and Two Scale Realized Volatility (TSRV). References below. Given X is the log ...
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### Realized Volatility: errors correlation

When using Realized Volatility (sum of squared intraday returns) to estimate volatility, following the model: $$r_t = \sigma_t \epsilon_t$$ where $\sigma^2_t$ is the volatility at time $t$ and ...
367 views

### Negative high frequency intraday volatility - Zhou estimator

To estimate high frequency tick data stock intraday volatility, I have read Robert Almgren's notes7.pdf http://www.cims.nyu.edu/~almgren/timeseries/notes7.pdf where he talks about the bias free ...
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### Can you explain me these comments on high frequency data?

I was reading some slides on high frequency data and i came across these statements: data discreetness induces high degree of kurtosis and Non synchronous trading and risk premium are ...
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### When does the Epps effect start?

Wikipedia defines the Epps effect as follows: In econometrics and time series analysis, the Epps effect, named after T. W. Epps, is the phenomenon that the empirical correlation between the returns ...
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### What good papers of short term (<30 seconds) volatility estimation [duplicate]

I am looking for good papers of short term (<30 sec) volatility estimation AND short term volatility forecasting. Do you have something in mind ?
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### How to model time series of illiquid stocks - 400 observations (transactions) per 8 hours?

How to model time series which are illiquid - 400 observations (transactions) per 8 hours ? Are there models suitable for this situation which incorporate not only size of the transactions but also ...
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### How to manage equity portfolio risk intraday?

Lets assume that I have an equity strategy that generates signals intraday to buy and sell. I run this strategy across the SP500 names. Now within my strategy I want to incorporate a method to help me ...
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### How to calculate historical intraday volatility?

Sorry for what must be a beginner question, but when I went to write code I realized I didn't understand exactly how historical volatility, or statistical volatility, is defined. Wikipedia tells me ...
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### Liquidity estimators: VWAP and IS

I am looking for some info on how to estimate liquidity (intraday). I have read some researches and created intraday measurements of liquidity on time yet not on price. What I mean by this is that I ...