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Intraday Volatility: The Empirical Evidence

  • Asani Sarkar
  • Robert Almgren
  • Albert J. Menkveld
  • Liuren Wu
Conference paper
Part of the Zicklin School of Business Financial Markets Series book series (CUNY)

Abstract

ASANI SARKER: We now have a new forecasting tool! It is in the very title of Bob Schwartz’s next conference (laughter). The forecast clearly worked well for this year’s conference because, of course, it is cleverly titled ‘volatility’ –and volatility, as you all well know, is major financial news today. Volatility is significantly present in today’s challenging markets. So, if the title of next year’s conference is, say, ‘Negative Skewness of Returns,’ then we are really in for big trouble! However, if it is ‘Positive Skewness of Returns,’ then we can be very happy about the future (laughter)!

Keywords

Risk Premium Hedge Fund Sharpe Ratio Order Flow Liquidity Supply 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer US 2011

Authors and Affiliations

  • Asani Sarkar
    • 1
  • Robert Almgren
    • 2
  • Albert J. Menkveld
    • 3
  • Liuren Wu
    • 4
  1. 1.Federal Reserve Bank of New YorkNew YorkUSA
  2. 2.New York UniversityNew YorkUSA
  3. 3.VU University AmsterdamAmsterdamNetherlands
  4. 4.Baruch College, CUNYNew YorkUSA

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