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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!

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  • $\begingroup$ Maybe try a high-frequency hurst exponent test? $\endgroup$ – experquisite Aug 18 '14 at 22:59

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