Hi all
Does anyone know where I can find the standard deviation/variance of the S&P using minutes as the unit of time over a period of days please?
Thanks and regards
Max
I don’t think this is readily available. Easiest is to plot the standard deviation as an indicator using a charting package (e.g. TradeStation, Metastock etc) and intraday quotefeed. Another option is to download the data for free from www.opentick.com and calculate it yourself in Excel or some statistical package.
Excellent, thanks ST. I’d much prefer doing it myself anyway.
Max
in any case be aware that some quote (tick)data are cleaned and others are not. In some cases you need to convert the data from tick to minute manually. If you calculate the SD on uncleaned data it will likely be too high (due to erroneous quotes that are way out of line).
