Intraday Volatility of book depth

Discussion in 'Strategy Building' started by stephencrowley, Sep 12, 2005.

  1. 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.

    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?