Is anyone aware of any methods to calculate the volatility of price points deeper in the book than just the last-executed price?
Let me clarify.
Standard models (garch,etc) operate on trade prices to calculate volatility.
Given a full depth view (TotalView,Ecns,Openbook,etc) you can find the average price-paid(or dollars spent) for a buy or sell given a number of shares (or dollars) by walking up the book.
SHARES PRICE
10000 64.031
20000 64.035
30000 64.036
40000 64.0368
50000 64.0412
Would it be useful to know the volatility at various levels within the book?
I would imagine that as you get deeper in the book the expected-volatility would rise dramatically as people are constantly adjusting orders, faking, etc.
What possible uses for this information could you see?
Let me clarify.
Standard models (garch,etc) operate on trade prices to calculate volatility.
Given a full depth view (TotalView,Ecns,Openbook,etc) you can find the average price-paid(or dollars spent) for a buy or sell given a number of shares (or dollars) by walking up the book.
SHARES PRICE
10000 64.031
20000 64.035
30000 64.036
40000 64.0368
50000 64.0412
Would it be useful to know the volatility at various levels within the book?
I would imagine that as you get deeper in the book the expected-volatility would rise dramatically as people are constantly adjusting orders, faking, etc.
What possible uses for this information could you see?