volatility to generate execution price risk and relative latency costs. Analysis of the behavior of quote setters suggests that … this volatility is more likely to arise from recurrent cycles of undercutting similar to the Edgeworth cycles found in …

Trading [HFT] activity and price volatility. In the ultra-high frequency intervals around HFT there is a slight increase in … volatility. This paper also confirms that large high frequency traders make consistently profitable trades intra-day, but their …

volatility. Additionally, we take advantage of the 2015 change in CME's daily settlement methodology for agricultural commodities …

the volatility of natural gas trading …

volatility clustering in clock-time returns, even when trade- time returns are Gaussian. Finally, we highlight conditions on the … directing process which are required in order to generate proper volatility dynamics while simultaneously matching the … unconditional distribution of returns. In-sample fitting and out-of-sample realized volatility forecasting demonstrate the strength …