Petrov, Vladimir; Golub, Anton; Olsen, Richard - In: Journal of risk and financial management : JRFM 12 (2019) 2/54, pp. 1-31
We propose a novel intraday instantaneous volatility measure which utilises sequences of drawdowns and drawups non-equidistantly spaced in physical time as indicators of high-frequency activity of financial markets. The sequences are re-expressed in terms of directional-change intrinsic time...
