An Instantaneous Market Volatility Estimation

  title={An Instantaneous Market Volatility Estimation},
  author={O. D. Danyliv and Bruce Bland},
  journal={Econometric Modeling: International Financial Markets - Volatility \& Financial Crises eJournal},
  • O. Danyliv, B. Bland
  • Published 7 August 2019
  • Economics
  • Econometric Modeling: International Financial Markets - Volatility & Financial Crises eJournal
Working on different aspects of algorithmic trading we empirically discovered a new market invariant. It links together the volatility of the instrument with its traded volume, the average spread and the volume in the order book. The invariant has been tested on different markets and different asset classes. In all cases we did not find significant violation of the invariant. The formula for the invariant was used for the volatility estimation, which we called the instantaneous volatility… 


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