10-sec vol index

S

saminny

Hi,

I am doing analysis on a high frequency trading strategy and want to generate 10-sec interval volatility numbers for certain symbols. For this, I snap the top of the book at 10 sec intervals and compute the standard deviation of the log returns for the day. To improve my accuracy, I want to average the computed 10-sec volatility over a number of days. Is a simple average of daily 10-sec volaility index over multiple days a good approximation?

thanks,
Sam
 
Quote from saminny:

Can you give some suggestion or explain why the above won't work?
More...

See my pm to you in response to your pm. It covered these bases automatically.

I do not want to interrupt your stream of thought or sidetrack the thread.
 
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