return volatility among stocks favored by Robinhood investors, as proxied by Reddit WallStreetBets mentions. HFTs with …

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 …

hypotheses: trading interference, volatility spillover, delayed price discovery, magnet effects and the role of HFT around the …, volatility levels, and price continuation and reversal activity. For the magnet effect, we test both speed and magnitude when the … find LULD interferes with trading activity, but curbs short term volatility without delaying the price discovery process …

study trading quantitatives such as returns, traded volumes, volatility periodicity, and provide summary statistics of …