This paper investigates the use of price intensities to estimate volatilities based on high-frequency data. We interpret the conditional probability for the occurrence of a price event within a certain time horizon as a risk measure which allows us to obtain an estimator of the conditional...

This paper puts focus on the hazard function of inter-trade durations to characterize the intraday trading process. It sheds light on the time varying trade intensity and, thus, on the liquidity of an asset and the informations channels which propagate price signals among asymmetrically informed...