Intraday Volatility: The Empirical Evidence
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)!
KeywordsRisk Premium Hedge Fund Sharpe Ratio Order Flow Liquidity Supply
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