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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 ...


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If it helps, your local universities/college have bloomberg computers as part of their business section. They are especially useful as the function ANR provides all available/current and historical recommendations from each firm and it's available to be exported to excel.



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