I was wondering if you were given a list of trades with different timestamps that is not periodic, how would you calculated the annualized realized volatility? If you had just candlestick data, that's straightforward. But let's say you want to get the rolling 10 minute realized volatility, the current timestamp is 12:10 and you have as the last trades:
12:01- 50 @ 10.1 12:02- 25 @ 10.2 12:05- 100@ 10 12:07- 25 @ 10.1
One way is to back/forward fill missing timestamps. But if we want to incorporate all the trades that has seconds precision that might be more difficult.
Is there a easy way to compute the realized volatility or another better method?