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I am looking for good papers of short term (<30 sec) volatility estimation AND short term volatility forecasting. Do you have something in mind ?


marked as duplicate by chollida, olaker Dec 17 '14 at 1:22

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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 volatility using high frequency data G Zumbach, F Corsi, A Trapletti

Here is one of the first papers on the subject:

High-frequency data and volatility in foreign-exchange rates B Zhou - Journal of Business & Economic Statistics, 1996

Analysis of market micro-structure noise here:

Realized variance and market microstructure noise PR Hansen, A Lunde - Journal of Business & Economic Statistics, 2006

Another article proposing sub-sampling techniques: A tale of two time scales L Zhang, PA Mykland, 2005

Generally, there is a wealth of papers on the subject of short term volatility estimation. You can take a look at this list of papers citing Zhou's original paper to find relevant research.

Short term volatility forecasting is another very interesting subject. If you get good volatility estimates, you should be able to use standard techniques for forecasting.

Here is one paper:

Forecasting volatility using tick by tick data, RF Engle, Z Sun - 2005


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