Volatility and Market Time
Price variation depends on sampling interval, clock, estimator, trading intensity, and microstructure noise. “Volatility” is incomplete without those choices.
Central questions
- Are observations sampled in wall time, event time, or volume time?
- How do bid-ask bounce and discrete ticks bias estimates?
- Which horizon is relevant to the decision being modeled?
Planned model
Generate one latent price and noisy quotes, then sample it under several clocks and intervals while comparing realized-variance estimates.