[R-SIG-Finance] intraday volatility

[rex]

Andres Susrud <andres.susrud at gmail.com> [2010-10-28 06:06]:
>I have a question regarding calculating the intraday volatility.
>
>I have a dataset that is sub minute, and about 2-3k long.
>
>The normal calculation would be
>sigma = sd(diff(log(data)))
>but when producing a GBM w.o drift, the process is way out of scale of what
>I would expect.

As Brian noted, noise is predominant in HF data. The URLs below
link to a recent (2010) paper on the problem. Google will turn up
a free draft version of the paper.

http://www.sciencedirect.com/science?_ob=ArticleURL&_udi=B6VC0-4YJ6GKX-G&_user=10&_coverDate=03%2F06%2F2010&_rdoc=1&_fmt=high&_orig=search&_origin=search&_sort=d&_docanchor=&view=c&_searchStrId=1517805192&_rerunOrigin=scholar.google&_acct=C000050221&_version=1&_urlVersion=0&_userid=10&md5=9311c44ddcdeb2111516631a7781fc0b&searchtype=a

http://tinyurl.com/2bsrd9b

-rex
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