0
votes
0answers
18 views

What types of studies can I do with intra - day data of commodity futures? [closed]

Please suggest what types of studies can I perform with Intra day data I have on commodity futures in India. I have 1 year data on top 10 traded commodities in the premier commodity exchanges in ...
5
votes
0answers
155 views

Do intraday volume and volatility share the same properties?

volatility clustering and mean reversion are very well known properties that one could use when trading. Traders, especially in options world, do take realized vol into account (e.g. by forecasting it ...
5
votes
2answers
322 views

How to use a realized kernel?

I've read that realized kernels are the thing to use for calculating daily volatility from high-frequency data. So I've got minute data, how do I actually use such a kernel? Will it give me minute-ly ...
1
vote
0answers
77 views

How to measure if variance is greater at a certain time of day?

I'm not very fluent in the quant vernacular, so perhaps the nature of my question will be better illustrated as a hypothesis. One market has closed and another market elsewhere on Spaceship Earth is ...