10-sec vol index

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

 

No.

 

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

 

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.