Is there any need for real time weighted volatility on a tick by tick basis for equities?

If you had that access to that, what could you do with it?

  • $\begingroup$ Are you asking because you're offering a product in this space? $\endgroup$ – chrisaycock Apr 28 '12 at 15:50
  • $\begingroup$ no, I'm playing around with parellel GPU programming. Looking for a something worthwhile to do. Calculating realtime option smiles might be better but I want to concentrate more on the architecture first... I'm open to publishing the code once I got it complete, so is it of any interest to anyone? $\endgroup$ – mfc Apr 30 '12 at 10:32
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    $\begingroup$ I do not believe that GPU is of any help for HFT-related computation, too many time is lost in the memory bus. $\endgroup$ – lehalle Apr 30 '12 at 20:31
  • $\begingroup$ I already answered to a very similar question about computing high-frequency volatility $\endgroup$ – lehalle Apr 30 '12 at 20:32

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