High Frequency Volatility Measures: An Exploration

In our latest research we explore the arcane subject of comparing different methodologies for measuring high frequency volatility. This can be more art than science, but a robust intraday volatility measure is extremely useful for many aspects of modelling.

Within the BestX framework, we use such a metric to help estimate opportunity cost within our Pre-Trade module. Going forward we also plan to introduce a machine learning based model to help predict intraday volatility regimes, and this work serves as a building block for the more complex models to come.

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