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Getting over bid-ask bounce

The joint dynamics of the mid price and the sign of the trades is a complex animal... you should respect its wild nature. First, I suggest you have a look at this question Optimal Price Metric for ...
lehalle's user avatar
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Optimal Price Metric for High-Frequency Volatility: Executed Price, Mid Price, or Weighted Mid Price?

You probably ask the question because you noticed that is you take the traded price to compute a naive volatility estimate on the all the trades, this (apparent) volatility is very high. It is due to ...
lehalle's user avatar
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