In this article I will introduce some of the tools used to model volatility with examples in Matlab. Let’s start with a definition of volatility – Volatility is the degree of variation of a price series over time as measured by the standard deviation of returns. Why is volatility of vast importance in financial world? One of the main reason …
Tick data aggregation in Matlab
This is the way I convert tick data into the aggregated form (OHLCV bars).