14 / 2015-10-06 22:35:29

Intraday Volatility of Stock Index Futures Analyzing via High Frequency Data

Stock Index Futures,Intraday Volatility

This paper presents a method for measuring the intraday volatility of the stock index futures, which uses a multi-resolution histogram to describe the price volatility in different time scales. The high frequency data are deployed to show the price volatility during a day. The long term relationship between the trade volume and the price volatility is also given. Experiments show that this method can be used to provide quantitative reference for analysis of transaction behaviors in the market.