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Results tagged with high-frequency-estimators
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user 909
High frequency (or ultra high frequency) data cannot be used as continuous regularly sampled time series to build estimators of: volatility, traded volumes, correlations, etc...
-1
votes
How to manage equity portfolio risk intraday?
Assuming you have an "optimal" target portfolio (Using BL model or otherwise), what you should be looking is that expected return enhancement from divergence from the previously computed "optimal" w.r …
1
vote
Liquidity estimators: VWAP and IS
Major measures of liquidity is volume and the spread. I would look for correlation between returns and volume and the bid-ask spread. On each time there is a negative anticipation I would add the stoc …